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Volatility spillovers and connectedness among credit default swap sector indexes
Fonseca, José da; Ignatieva, Ekaterina - In: Applied economics 50 (2018) 36, pp. 3923-3936
Persistent link: https://www.econbiz.de/10012060164
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A joint analysis of market indexes in credit default swap, volatility and stock markets
Fonseca, José da; Wang, Peiming - In: Applied economics 48 (2016) 19/21, pp. 1767-1784
Persistent link: https://www.econbiz.de/10011589737
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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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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
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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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Dynamic interdependence of sovereign credit default swaps in BRICS and MIST countries
DeBoyrie, Maria Eugenia; Pavlova, Ivelina - In: Applied economics 48 (2016) 7/9, pp. 563-575
Persistent link: https://www.econbiz.de/10011412954
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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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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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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
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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