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~isPartOf:"Swiss Finance Institute Research Paper"
~isPartOf:"The journal of futures markets"
~isPartOf:"Wiley finance"
~subject:"Derivat"
~subject:"Optionsgeschäft"
~type:"article"
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A Simple Credit Risk Model wit...
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Swiss Finance Institute Research Paper
The journal of futures markets
Wiley finance
International journal of theoretical and applied finance
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1
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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2
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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3
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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4
The compatibility of one-factor market models in caps and swaptions markets : evidence from their dynamic hedging performance
An, Yunbi
;
Suo, Wulin
- In:
The journal of futures markets
28
(
2008
)
2
,
pp. 109-130
Persistent link: https://www.econbiz.de/10003647668
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5
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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6
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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7
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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8
Piecewise linear boundary crossing probabilities, barrier options, and variable annuities
Lee, Hangsuck
;
Ha, Hongjun
;
Lee, Minha
- In:
The journal of futures markets
42
(
2022
)
12
,
pp. 2248-2272
Persistent link: https://www.econbiz.de/10013465884
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9
Are credit spreads too low or too high? : a hybrid barrier option approach for financial distress
Lin, William
;
Sun, David
- In:
The journal of futures markets
29
(
2009
)
12
,
pp. 1161-1189
Persistent link: https://www.econbiz.de/10003900991
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10
Economic determinants of default risks and their impacts on credit derivative pricing
Liao, Szu-Lang
;
Chang, Jui-jane
- In:
The journal of futures markets
30
(
2010
)
11
,
pp. 1058-1081
Persistent link: https://www.econbiz.de/10008900939
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