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~isPartOf:"Applied economics"
~isPartOf:"International review of economics & finance : IREF"
~isPartOf:"The journal of derivatives : the official publication of the International Association of Financial Engineers"
~isPartOf:"The journal of futures markets"
~subject:"Optionspreistheorie"
~subject:"Rohstoffderivat"
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A Simple Credit Risk Model wit...
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Optionspreistheorie
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Portfolio selection
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Chen, Son-nan
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Applied economics
International review of economics & finance : IREF
The journal of derivatives : the official publication of the International Association of Financial Engineers
The journal of futures markets
International journal of theoretical and applied finance
84
Applied mathematical finance
41
Insurance / Mathematics & economics
41
Mathematical finance : an international journal of mathematics, statistics and financial theory
41
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39
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1
Credit risk and bubble behavior of credit default swaps in the corporate energy sector
Cervera, Ignacio
;
Figuerola-Ferretti, Isabel
- In:
International review of economics & finance : IREF
89
(
2024
)
1
,
pp. 702-731
Persistent link: https://www.econbiz.de/10014446517
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2
A guide to volatility and variance swaps
Demeterfi, Kresimir
(
contributor
)
- In:
The journal of derivatives : the official publication …
6
(
1999
)
4
,
pp. 9-32
Persistent link: https://www.econbiz.de/10001432447
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3
Leveraging prices from credit and equity option markets for portfolio risk management
Bégin, Jean-François
;
Boudreault, Mathieu
; …
- In:
The journal of futures markets
44
(
2024
)
1
,
pp. 122-147
Persistent link: https://www.econbiz.de/10014475433
Saved in:
4
Asset swaps with Asian-style payoffs
Chance, Don M.
- In:
The journal of derivatives : the official publication …
3
(
1996
)
4
,
pp. 64-77
Persistent link: https://www.econbiz.de/10001202803
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5
Options on normal underlyings with an application to the pricing or survivor swaptions
Dawson, Paul
;
Dowd, Kevin
;
Cairns, Andrew
;
Blake, David
- In:
The journal of futures markets
29
(
2009
)
8
,
pp. 757-774
Persistent link: https://www.econbiz.de/10003900592
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6
Capped equity swaps under the double-jump stochastic volatility model with stochastic interest rates
Guo, Jia-hau
- In:
The journal of futures markets
31
(
2011
)
4
,
pp. 340-370
Persistent link: https://www.econbiz.de/10008908378
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7
Convexity meets replication : hedging of
swap
derivatives and annuity options
Zheng, Wendong
;
Kwok, Yue-Kuen
- In:
The journal of futures markets
31
(
2011
)
7
,
pp. 659-678
Persistent link: https://www.econbiz.de/10009009213
Saved in:
8
Valuation of CMS spread options with nonzero strike rates in the LIBOR market model
Wu, Ting-pin
;
Chen, Son-nan
- In:
The journal of derivatives : the official publication …
19
(
2011
)
1
,
pp. 41-55
Persistent link: https://www.econbiz.de/10009316812
Saved in:
9
Currency-protected swaps and swaptions with nonzero spreads in a multicurrency LMM
Chang, Jui-jane
;
Chen, Son-nan
;
Wu, Ting-pin
- In:
The journal of futures markets
33
(
2013
)
9
,
pp. 827-867
Persistent link: https://www.econbiz.de/10009779065
Saved in:
10
Pricing commodity swaptions in multifactor models
Larsson, Karl
- In:
The journal of derivatives : the official publication …
19
(
2011
)
2
,
pp. 32-44
Persistent link: https://www.econbiz.de/10009413614
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