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Price calibration and hedging of correlation dependent credit derivatives using a structural model with α-stable distributions

Papenbrock, Jochen; Račev, Svetlozar T.; … - In: Applied financial economics 19 (2009) 16/18, pp. 1401-1416

The emergence of Credit Default Swap (CDS) indices and corresponding credit risk transfer markets with high liquidity and narrow bid-ask spreads has created standard benchmarks for market credit risk and correlation against which portfolio credit risk models can be calibrated. Integrated risk...

Persistent link: https://www.econbiz.de/10003886215

Approximation of skewed and leptokurtic return distributions

Scherer, Matthias; Račev, Svetlozar T.; Kim, Young Shin; … - In: Applied financial economics 22 (2012) 16/18, pp. 1305-1316

Persistent link: https://www.econbiz.de/10009625374

Savings selectivity bias, subjective expectations and stock market participation

Bonaparte, Yosef; Fabozzi, Frank J. - In: Applied financial economics 21 (2011) 1/3, pp. 119-130

Persistent link: https://www.econbiz.de/10009124659

Option pricing with time-changed Lévy processes

Klingler, Sven; Kim, Young Shin; Račev, Svetlozar T.; … - In: Applied financial economics 23 (2013) 13/15, pp. 1231-1238

Persistent link: https://www.econbiz.de/10010204746

Market overreaction and underreaction : tests of the directional and magnitude effects

Fabozzi, Frank J.; Fung, Chun-yip; Lam, Kin; Wong, Wing … - In: Applied financial economics 23 (2013) 16/18, pp. 1469-1482

Persistent link: https://www.econbiz.de/10010259386

Macroeconomic news effects on conditional volatilities in the bond and stock markets

Arshanapalli, Bala Gangadhar; D'Ouville, Edmond L.; … - In: Applied financial economics 16 (2006) 5, pp. 377-384

Persistent link: https://www.econbiz.de/10003289274

An empirical examination of the return distribution characteristics of agency mortgage pass-through securities

Fabozzi, Frank J.; Racheva-Iotova, Borjana; Stoyanov, … - In: Applied financial economics 16 (2006) 15, pp. 1085-1094

Persistent link: https://www.econbiz.de/10003385567

Price calibration and hedging of correlation dependent credit derivatives using a structural model with α-stable distributions

Papenbrock, Jochen; Rachev, Svetlozar; Hochstotter, Markus - In: Applied financial economics 19 (2009) 16-18, pp. 1401-1416

Persistent link: https://www.econbiz.de/10008320854

Price calibration and hedging of correlation dependent credit derivatives using a structural model with α-stable distributions

Papenbrock, Jochen; Rachev, Svetlozar; Hochstotter, Markus - In: Applied financial economics 19 (2009) 17, pp. 1401-1416

Persistent link: https://www.econbiz.de/10008284197

Macroeconomic news effects on conditional volatilities in the bond and stock markets

Arshanapalli, Bala; d’Ouville, Edmond; Fabozzi, Frank; … - In: Applied financial economics 16 (2006) 5, pp. 377-384

Persistent link: https://www.econbiz.de/10007635229