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From bid-ask credit default swap quotes to risk-neutral default probabilities using distorted expectations
Michielon, Matteo; Khedher, Asma; Spreij, Peter - In: International journal of theoretical and applied finance 24 (2021) 3, pp. 1-22
Persistent link: https://www.econbiz.de/10012652634
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Optimal execution cost for liquidation through a limit order market
Chevalier, Etienne; Ly Vath, Vathana; Scotti, Simone; … - In: International journal of theoretical and applied finance 19 (2016) 1, pp. 1-26
Persistent link: https://www.econbiz.de/10011453884
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Liquidity risk, instead of funding costs, leads to a valuation adjustment for derivatives and other assets
Nauta, Bert-Jan - In: International journal of theoretical and applied finance 18 (2015) 2, pp. 1-30
Persistent link: https://www.econbiz.de/10011403233
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Resilient price impact of trading and the cost of illiquidity
Roch, Alexandre; Soner, Halil Mete - In: International journal of theoretical and applied finance 16 (2013) 6, pp. 1-27
Persistent link: https://www.econbiz.de/10010197179
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Set-valued shortfall and divergence risk measures
Ararat, Çağin; Hamel, Andreas; Rudloff, Birgit - In: International journal of theoretical and applied finance 20 (2017) 5, pp. 1-48
Persistent link: https://www.econbiz.de/10011733939