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Do correlated defaults matter for CDS premia?
Koziol, Christian; Koziol, Philipp; Schön, Thomas - In: Review of derivatives research 18 (2015) 3, pp. 191-224
Persistent link: https://www.econbiz.de/10011477301
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Portfolio benefits of adding corporate credit default swap indices : evidence from North America and Europe
Hippert, Benjamin; Uhde, André; Wengerek, Sascha Tobias - In: Review of derivatives research 22 (2019) 2, pp. 203-259
Persistent link: https://www.econbiz.de/10012311669
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Structural default model with mutual obligations
Itkin, Andrey; Lipton, Alexander - In: Review of derivatives research 20 (2017) 1, pp. 15-46
Persistent link: https://www.econbiz.de/10011930552
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Pricing swaps and options on quadratic variation under stochastic time change models : discrete observations case
Itkin, Andrey; Carr, Peter - In: Review of derivatives research 13 (2010) 2, pp. 141-176
Persistent link: https://www.econbiz.de/10008695493
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A new approach for option pricing under stochastic volatility
Carr, Peter; Sun, Jian - In: Review of derivatives research 10 (2007) 2, pp. 87-150
Persistent link: https://www.econbiz.de/10003705860
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New solvable stochastic volatility models for pricing volatility derivatives
Itkin, Andrey - In: Review of derivatives research 16 (2013) 2, pp. 111-134
Persistent link: https://www.econbiz.de/10009774404
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Discount curve construction with tension splines
Andersen, Leif B. G. - In: Review of derivatives research 10 (2007) 3, pp. 227-267
Persistent link: https://www.econbiz.de/10003748110
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On the information in the interest rate term structure and option prices
Jong, Frank de; Driessen, Joost; Pelsser, Antoon André Jean - In: Review of derivatives research 7 (2004) 2, pp. 99-127
Persistent link: https://www.econbiz.de/10003153989
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Credit events and the valuation of credit derivatives of basket type
Kijima, Masaaki; Muromachi, Yukio - In: Review of derivatives research 4 (2000) 1, pp. 55-79
Persistent link: https://www.econbiz.de/10001521987
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Valuation of a credit swap of the basket type
Kijima, Masaaki - In: Review of derivatives research 4 (2000) 1, pp. 81-97
Persistent link: https://www.econbiz.de/10001521989