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~accessRights:"restricted"
~person:"Capponi, Agostino"
~person:"Jarrow, Robert A."
~subject:"Derivative"
~subject:"Incomplete information"
~subject:"Kreditsicherung"
~subject:"Risk measure"
~subject:"Swap"
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Capponi, Agostino
Jarrow, Robert A.
Wang, Xingchun
14
Acharya, Viral V.
8
Bahaj, Saleem
7
Reis, Ricardo
7
SenGupta, Indranil
7
Broll, Udo
6
Trolle, Anders B.
6
Yang, Zhaojun
6
Zhu, Lu
6
Boos, Karl-Heinz
5
Filipović, Damir
5
Junge, Benjamin
5
Kim, Jeong-Hoon
5
Ongena, Steven
5
Serrano, Pedro
5
Tang, Dragon Yongjun
5
Welzel, Peter
5
Breton, Michèle
4
Chen, Shi
4
Fabozzi, Frank J.
4
Farkas, Walter
4
Hu, May
4
Ito, Takayasu
4
Jabłecki, Juliusz
4
Kim, See-Woo
4
Kwok, Yue-Kuen
4
Lin, Ming-Tsung
4
Mayordomo, Sergio
4
Oosterlee, Cornelis Willebrordus
4
Procasky, William J.
4
Rösch, Daniel
4
Schulte-Mattler, Hermann
4
Stenfors, Alexis
4
Tang, Dan
4
Aizenman, Joshua
3
Augustin, Patrick
3
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Battiston, Stefano
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1
Finance and stochastics
1
Journal of empirical finance
1
Journal of monetary economics
1
Management science : journal of the Institute for Operations Research and the Management Sciences
1
Mathematical finance : an international journal of mathematics, statistics and financial economics
1
Mathematical finance : an international journal of mathematics, statistics and financial theory
1
Operations research
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Review of finance : journal of the European Finance Association
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ECONIS (ZBW)
10
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1
Exploring mispricing in the term structure of CDS spreads
Jarrow, Robert A.
;
Li, Haitao
;
Ye, Xiaoxia
;
Hu, May
- In:
Review of finance : journal of the European Finance …
23
(
2019
)
1
,
pp. 161-198
Persistent link: https://www.econbiz.de/10012035080
Saved in:
2
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
Saved in:
3
Interest rate swaps : a comparison of compounded daily versus discrete reference rates
Jarrow, Robert A.
;
Li, Siguang
- In:
Review of derivatives research
26
(
2023
)
1
,
pp. 1-21
Persistent link: https://www.econbiz.de/10014266351
Saved in:
4
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
Saved in:
5
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
Saved in:
6
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
Saved in:
7
Clearinghouse margin requirements
Capponi, Agostino
;
Cheng, W. Allen
- In:
Operations research
66
(
2018
)
6
,
pp. 1542-1558
Persistent link: https://www.econbiz.de/10011971659
Saved in:
8
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
Saved in:
9
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
Saved in:
10
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
Saved in:
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