Narrow search
Showing 1 - 8 of 8
Cover Image
Inflation-adjusted bonds, swaps, and derivatives
Jarrow, Robert A.; Yildirim, Yildiray - In: Annual review of financial economics 15 (2023), pp. 449-471
Persistent link: https://www.econbiz.de/10014426345
Cover Image
Dynamic credit investment in partially observed markets
Capponi, Agostino; Figueroa-López, José E.; Pascucci, … - In: Finance and stochastics 19 (2015) 4, pp. 891-939
Persistent link: https://www.econbiz.de/10011421091
Cover Image
Optimal investment in credit derivatives portfolio under contagion risk
Bo, Lijun; Capponi, Agostino - In: Mathematical finance : an international journal of … 26 (2016) 4, pp. 785-834
Persistent link: https://www.econbiz.de/10011583805
Cover Image
Arbitrage-free XVA
Bichuch, Maxim; Capponi, Agostino; Sturm, Stephan - In: Mathematical finance : an international journal of … 28 (2018) 2, pp. 582-620
Persistent link: https://www.econbiz.de/10011969094
Cover Image
Clearinghouse margin requirements
Capponi, Agostino; Cheng, W. Allen - In: Operations research 66 (2018) 6, pp. 1542-1558
Persistent link: https://www.econbiz.de/10011971659
Cover Image
The collateral rule : evidence from the credit default swap market
Capponi, Agostino; Cheng, Wan-Schwin Allen; Giglio, Stefano - In: Journal of monetary economics 126 (2022), pp. 58-86
Persistent link: https://www.econbiz.de/10013364919
Cover Image
Futures contract collateralization and its implications
Jarrow, Robert A.; Kwok, Simon Sai Man - In: Journal of empirical finance 74 (2023), pp. 1-25
Persistent link: https://www.econbiz.de/10014477096
Cover Image
A theory of collateral requirements for central counterparties
Wang, Jessie Jiaxu; Capponi, Agostino; Zhang, Hongzhong - In: Management science : journal of the Institute for … 68 (2022) 9, pp. 6993-7017
Persistent link: https://www.econbiz.de/10013373165