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A derivatives pricing model with non-cash collateralization
Takino, Kazuhiro - In: The journal of derivatives : JOD 29 (2021) 1, pp. 123-138
Persistent link: https://www.econbiz.de/10012612946
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Copula sensitivity in collateralized debt obligations and basket default swaps
Meneguzzo, Davide; Vecchiato, Walter - In: The journal of futures markets 24 (2004) 1, pp. 37-70
Persistent link: https://www.econbiz.de/10001850813
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The man in the middle-liquidity provision under central clearing in the credit default swap market : a regression discontinuity approach
Schönemann, Gregor - In: The journal of futures markets 42 (2022) 3, pp. 446-471
Persistent link: https://www.econbiz.de/10012817941
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Credit default swaps and firm risk
Lin, Hai; Binh Hoang Nguyen; Wang, Junbo; Zhang, Cheng - In: The journal of futures markets 43 (2023) 11, pp. 1668-1692
Persistent link: https://www.econbiz.de/10014432924
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Term structure of credit default swap liquidity premiums
Leal, Diego; Stanhouse, Bryan E. - In: The journal of derivatives : JOD 30 (2023) 4, pp. 47-73
Persistent link: https://www.econbiz.de/10014306869
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Application of credit derivatives in portfolio management
Kackar, Sameer; Rogal, Kelly - In: The journal of derivatives : JOD 29 (2022) 4, pp. 81-96
Persistent link: https://www.econbiz.de/10014231050
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Currency-protected swaps and swaptions with nonzero spreads in a multicurrency LMM
Chang, Jui-jane; Chen, Son-nan; Wu, Ting-pin - In: The journal of futures markets 33 (2013) 9, pp. 827-867
Persistent link: https://www.econbiz.de/10009779065
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Derivatives pricing on integrated diffusion processes : a general perturbation approach
Li, Minqiang - In: The journal of futures markets 35 (2015) 6, pp. 582-595
Persistent link: https://www.econbiz.de/10011405411
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Futures prices are not stable-Paretian distributed
Gribbin, Donald W. - In: The journal of futures markets 12 (1992) 4, pp. 475-487
Persistent link: https://www.econbiz.de/10001128522
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Pricing vulnerable options with correlated credit risk under jump-diffusion processes
Tian, Lihui; Wang, Guanying; Wang, Xingchun; Wang, Yongjin - In: The journal of futures markets 34 (2014) 10, pp. 957-979
Persistent link: https://www.econbiz.de/10010508685