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How safe are central counterparties in credit default swap markets?
Paddrik, Mark; Young, H. Peyton - In: Mathematics and financial economics 15 (2021) 1, pp. 41-57
Persistent link: https://www.econbiz.de/10012433631
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Optimal securitization of credit portfolios via impulse control
Frey, Rüdiger; Seydel, Roland C. - In: Mathematics and financial economics 4 (2010) 1, pp. 1-28
Persistent link: https://www.econbiz.de/10008807103
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Funding liquidity, debt tenor structure, and creditor’s belief : an exogenous dynamic debt run model
Liang, Gechun; Lütkebohmert-Holtz, Eva; Wei, Wei - In: Mathematics and financial economics 9 (2015) 4, pp. 271-302
Persistent link: https://www.econbiz.de/10011378101
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Optimal investment in a defaultable bond
Lakner, Peter; Liang, Weijian - In: Mathematics and financial economics 1 (2008) 3/4, pp. 283-310
Persistent link: https://www.econbiz.de/10003722534
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Barndorff-Nielsen and Shephard model : oil hedging with variance swap and option
SenGupta, Indranil; Wilson, William W.; Nganje, William - In: Mathematics and financial economics 13 (2019) 2, pp. 209-226
Persistent link: https://www.econbiz.de/10012055793
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On the probability of default in a market with price clustering and jump risk
Song, Shiyu; Wang, Yongjin; Xu, Guangli - In: Mathematics and financial economics 14 (2020) 2, pp. 225-247
Persistent link: https://www.econbiz.de/10012240142
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Asymptotic asset pricing and bubbles
Roch, Alexandre - In: Mathematics and financial economics 12 (2018) 2, pp. 275-304
Persistent link: https://www.econbiz.de/10011963853
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Sensitivity analysis for marked Hawkes processes : application to CLO pricing
Bernis, Guillaume; Salhi, Kaouther; Scotti, Simone - In: Mathematics and financial economics 12 (2018) 4, pp. 541-559
Persistent link: https://www.econbiz.de/10011963880
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Event risk, contingent claims and the temporal resolution of uncertainty
Collin-Dufresne, Pierre; Hugonnier, Julien - In: Mathematics and financial economics 8 (2014) 1, pp. 29-69
Persistent link: https://www.econbiz.de/10010235418
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A tractable LIBOR model with default risk
Grbac, Zorana; Papapantoleon, Antonis - In: Mathematics and financial economics 7 (2013) 2, pp. 203-227
Persistent link: https://www.econbiz.de/10009736861