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What can volatility smiles tell us about the too big to fail problem?
Ngo, Phong T. H.; Puente-Moncayo, Diego L. - In: Journal of financial and quantitative analysis : JFQA 59 (2024) 2, pp. 863-895
Persistent link: https://www.econbiz.de/10014520129
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A joint framework for consistently pricing interest rates and interest rate derivatives
Heidari, Massoud; Wu, Liuren - In: Journal of financial and quantitative analysis : JFQA 44 (2009) 3, pp. 517-550
Persistent link: https://www.econbiz.de/10003887360
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Pricing of options on commodity futures with stochastic term structures of convenience yields and interest rates
Miltersen, Kristian R. - In: Journal of financial and quantitative analysis : JFQA 33 (1998) 1, pp. 33-59
Persistent link: https://www.econbiz.de/10001243206
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Nonparametric modeling of US interest rate term structure dynamics and implications on the prices of derivative securities
Jiang, George J. - In: Journal of financial and quantitative analysis : JFQA 33 (1998) 4, pp. 465-497
Persistent link: https://www.econbiz.de/10001256376
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Equity volatility term structures and the cross section of option returns
Vasquez, Aurelio - In: Journal of financial and quantitative analysis : JFQA 52 (2017) 6, pp. 2727-2754
Persistent link: https://www.econbiz.de/10011929375
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Inside debt and bank risk
Bekkum, Sjoerd van - In: Journal of financial and quantitative analysis : JFQA 51 (2016) 2, pp. 359-385
Persistent link: https://www.econbiz.de/10011577468
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Debtholder monitoring incentives and bank earnings opacity
Danisewicz, Piotr; McGowan, Danny; Onali, Enrico; … - In: Journal of financial and quantitative analysis : JFQA 56 (2021) 4, pp. 1408-1445
Persistent link: https://www.econbiz.de/10012523337
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Pricing American options under the constant elasticity of variance model and subject to bankruptcy
Nunes, Joaõ Pedro Vidal - In: Journal of financial and quantitative analysis : JFQA 44 (2009) 5, pp. 1231-1263
Persistent link: https://www.econbiz.de/10003939136
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The sensitivity of American options to suboptimal exercise strategies
Ibáñez, Alfredo; Paraskevopoulos, Ioannis - In: Journal of financial and quantitative analysis : JFQA 45 (2010) 6, pp. 1563-1590
Persistent link: https://www.econbiz.de/10008909153
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The economic role of jumps and recovery rates in the market for corporate default risk
Schneider, Paul; Sögner, Leopold; Veza, Tanja - In: Journal of financial and quantitative analysis : JFQA 45 (2010) 6, pp. 1517-1547
Persistent link: https://www.econbiz.de/10008909155