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CDS Returns
Augustin, Patrick; Saleh, Fahad; Xu, Haohua - In: Journal of economic dynamics & control 118 (2020), pp. 1-27
Persistent link: https://www.econbiz.de/10012503412
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Corporate credit risk prediction under stochastic volatility and jumps
Bu, Di; Liao, Yin - In: Journal of economic dynamics & control 47 (2014), pp. 263-281
Persistent link: https://www.econbiz.de/10010485852
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Local volatility and the recovery rate of credit default swaps
Jansen, Jeroen; Das, Sanjiv R.; Fabozzi, Frank J. - In: Journal of economic dynamics & control 92 (2018), pp. 1-29
Persistent link: https://www.econbiz.de/10011974230
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Estimating redenomination risk under Gumbel–Hougaard survival copulas
Cherubini, Umberto - In: Journal of economic dynamics & control 133 (2021), pp. 1-20
Persistent link: https://www.econbiz.de/10014535826
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Two-factor convertible bonds valuation using the method of characteristics/finite elements
Barone-Adesi, Giovanni; Bermudez, Ana; Hatgioannides, John - In: Journal of economic dynamics & control 27 (2003) 10, pp. 1801-1831
Persistent link: https://www.econbiz.de/10001755431
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Real options and contingent convertibles with regime switching
Luo, Pengfei; Yang, Zhaojun - In: Journal of economic dynamics & control 75 (2017), pp. 122-135
Persistent link: https://www.econbiz.de/10011817155
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Premia for correlated default risk
Azizpour, Shahriar; Giesecke, Kay; Kim, Baeho - In: Journal of economic dynamics & control 35 (2011) 8, pp. 1340-1357
Persistent link: https://www.econbiz.de/10009241405
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Recovering default risk from CDS spreads with a nonlinear filter
Guarin, Alexander; Liu, Xiaoquan; Wing Lon Ng - In: Journal of economic dynamics & control 38 (2014), pp. 87-104
Persistent link: https://www.econbiz.de/10010387855
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Option hedging theory under transaction costs
Lai, Tze Leung; Lim, Tiong Wee - In: Journal of economic dynamics & control 33 (2009) 12, pp. 1945-1961
Persistent link: https://www.econbiz.de/10003908249
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Consistent modeling of S&P 500 and VIX derivatives
Lin, Yueh-neng; Chang, Chien-hung - In: Journal of economic dynamics & control 34 (2010) 11, pp. 2302-2319
Persistent link: https://www.econbiz.de/10009008878