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Asymmetric asset correlation in credit portfolios

Cho, Yongbok; Lee, Yong Woong - In: Finance research letters 49 (2022), pp. 1-6

Persistent link: https://www.econbiz.de/10013478636

Relevance of wrong-way risk in funding valuation adjustments

Zwaard, Thomas van der; Grzelak, Lech A.; Oosterlee, … - In: Finance research letters 49 (2022), pp. 1-8

Persistent link: https://www.econbiz.de/10013478834

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

The measure of model risk in credit capital requirements

Baviera, Roberto - In: Finance research letters 44 (2022), pp. 1-9

Persistent link: https://www.econbiz.de/10014494868

On the American swaption in the linear-rational framework

Filipović, Damir; Kitapbayev, Yerkin - 2016

and the optimal exercise strategies in terms of swap rates for both fixed-rate payer and receiver swaps. Finally, we show …

Persistent link: https://www.econbiz.de/10011516038

The compatibility of one-factor market models in caps and swaptions markets : evidence from their dynamic hedging performance

An, Yunbi; Suo, Wulin - In: The journal of futures markets 28 (2008) 2, pp. 109-130

Persistent link: https://www.econbiz.de/10003647668

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

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

The performance of the eurosystem's fixed rate tenders since 2004 : theory and evidence

Ewerhart, Christian; Cassola, Nuno; Valla, Natacha - 2010

The fixed rate tender is one of the main operational formats used by central banks in the implementation of their monetary policies. While academic research has largely dismissed the procedure for its tendency to encourage overbidding, central banks such as the ECB and the Bank of England have...

Persistent link: https://www.econbiz.de/10008797780

Equity swaps in a LIBOR market model

Wu, Ting-pin; Chen, Son-nan - In: The journal of futures markets 27 (2007) 9, pp. 893-920

Persistent link: https://www.econbiz.de/10003518527