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A subordinated CIR intensity model with application to wrong-way risk CVA
Mbaye, Cheikh; Vrins, Frédéric - In: International journal of theoretical and applied finance 21 (2018) 7, pp. 1-22
Persistent link: https://www.econbiz.de/10011956998
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Stationary distribution of the volume at the best quote in a poisson order book model
Toke, Ioane Muni - In: International journal of theoretical and applied finance 20 (2017) 6, pp. 1-22
Persistent link: https://www.econbiz.de/10011734357
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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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PCA-based ex-ante forecasting of swap term structures
Blaskowitz, Olilver; Herwartz, Helmut - In: International journal of theoretical and applied finance 12 (2009) 4, pp. 465-489
Persistent link: https://www.econbiz.de/10003879073
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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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Defaultable Lévy Libor rates and credit derivatives
Huehne, Florian - In: International journal of theoretical and applied finance 10 (2007) 3, pp. 407-435
Persistent link: https://www.econbiz.de/10003463421
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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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Valuation of credit default swaptions and credit default index swaptions
Rutkowski, Marek; Armstrong, Anthony - In: International journal of theoretical and applied finance 12 (2009) 7, pp. 1027-1053
Persistent link: https://www.econbiz.de/10003928782
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Fast and accurate pricing and hedging of long-dated CMS spread options
Joshi, Mark S.; Chao Yang - In: International journal of theoretical and applied finance 13 (2010) 6, pp. 839-865
Persistent link: https://www.econbiz.de/10008905112
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Analytical approximation to constant maturity swap convexity corrections in a multi-factor SABR model
Chen, Bin; Oosterlee, Cornelis W.; Weeren, Sacha van - In: International journal of theoretical and applied finance 13 (2010) 7, pp. 1019-1046
Persistent link: https://www.econbiz.de/10008906224