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Arbitrage-free valuation of bilateral counterparty risk for interest-rate products : impact of volatilities and correlations
Brigo, Damiano; Pallavicini, Andrea; Papatheodorou, … - In: International journal of theoretical and applied finance 14 (2011) 6, pp. 773-802
Persistent link: https://www.econbiz.de/10009381011
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An implied volatility model determined by credit default swaps
Heider, Pascal - In: International journal of theoretical and applied finance 15 (2012) 7, pp. 1-21
Persistent link: https://www.econbiz.de/10009685890
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The impact of stock returns volatility on credit default swap rates: A copula study
Abid, Fathi; Naifar, Nader - In: International journal of theoretical and applied finance 8 (2005) 8, pp. 1135-1155
Persistent link: https://www.econbiz.de/10003280048
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The variance swap contract under the CEV process
Jordan, Richard; Tier, Charles - In: International journal of theoretical and applied finance 12 (2009) 5, pp. 709-743
Persistent link: https://www.econbiz.de/10003899517
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Forward-rate volatilities and the swaption matrix : why neither time-homogeneity nor time-dependence are enough
Rebonato, Riccardo - In: International journal of theoretical and applied finance 9 (2006) 5, pp. 705-746
Persistent link: https://www.econbiz.de/10003378994
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The effect of jumps and discrete sampling on volatility and variance swaps
Broadie, Mark; Jain, Ashish - In: International journal of theoretical and applied finance 11 (2008) 8, pp. 761-797
Persistent link: https://www.econbiz.de/10003812780
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Hedging (co)variance risk with variance swaps
Fonseca, José da; Grasselli, Martino; Ielpo, Florian - In: International journal of theoretical and applied finance 14 (2011) 6, pp. 899-943
Persistent link: https://www.econbiz.de/10009380996
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Volatility derivatives in market models with jumps
Lo, Harry; Mijatovi´c, Aleksandar - In: International journal of theoretical and applied finance 14 (2011) 7, pp. 1159-1193
Persistent link: https://www.econbiz.de/10009407653
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Covariance and correlation swaps for financial markets with Markov-modulated volatilities
Salvi, Giovanni; Sviščuk, Anatolij - In: International journal of theoretical and applied finance 17 (2014) 1, pp. 1-23
Persistent link: https://www.econbiz.de/10010363946
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Volatility derivatives and model-free implied leverage
Fukasawa, Masaaki - In: International journal of theoretical and applied finance 17 (2014) 1, pp. 1-23
Persistent link: https://www.econbiz.de/10010363969