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Pricing synthetic CDOs using a three regime Random-Factor-Loading Model
Messow, Philip - 2012
Synthetic Collateralized Debt Obligations (CDOs) were among the driving forces of the rapid growth of the market for credit derivatives in recent years. Possibly the most popular model beside the Gaussian copula for pricing CDO tranches is the Random-Factor-Loading-Model of Andersen and Sidenius...
Persistent link: https://www.econbiz.de/10009579285
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Options-pricing formula with disaster risk
Barro, Robert J.; Liao, Gordon Y. - 2016
Persistent link: https://www.econbiz.de/10011432216
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The price of political uncertainty : theory and evidence from the option market
Kelly, Bryan T.; Pástor, Ľuboš; Veronesi, Pietro - 2014
Persistent link: https://www.econbiz.de/10010240002
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Deflation risk
Fleckenstein, Matthias; Longstaff, Francis A.; Lustig, Hanno - 2013
Persistent link: https://www.econbiz.de/10009784893
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On the fundamental relation between equity returns and interest rates
Choi, Jaewon; Richardson, Matthew; Whitelaw, Robert F. - 2014
Persistent link: https://www.econbiz.de/10010372573
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The determinants of coco bond prices
Khah, Sara Abed Masror; Vermaelen, Theo; Wolff, Christian - 2015
Persistent link: https://www.econbiz.de/10011441353
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Service with a smile : does the type of smile matter?
Andrzejewski, Susan A.; Mooney, Emily C. - In: Journal of retailing and consumer services 29 (2016), pp. 135-141
Persistent link: https://www.econbiz.de/10011442368
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An FBSDE approach to American option pricing with an interacting particle method
Fujii, Masaaki; Sato, Seisho; Takahashi, Akihiko - In: Asia-Pacific financial markets 22 (2015) 3, pp. 239-260
Persistent link: https://www.econbiz.de/10011524808
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Applications of central limit theorems for equity-linked insurance
Feng, Runhuan; Shimizu, Yasutaka - In: Insurance / Mathematics & economics 69 (2016), pp. 138-148
Persistent link: https://www.econbiz.de/10011530942
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Reassessing the ethicality of some common financial practices
Bagus, Philipp; Gabriel, Amadeus; Howden, David - In: Journal of business ethics : JOBE 136 (2016) 3, pp. 471-480
Persistent link: https://www.econbiz.de/10011521596