Narrow search
Showing 1 - 10 of 39
Cover Image
Explaining credit default swap spreads with the equity volatility and jump risks of individual firms
Zhang, Benjamin Yibin; Zhou, Hao; Zhu, Haibin - In: The review of financial studies 22 (2009) 12, pp. 5099-5131
Persistent link: https://www.econbiz.de/10003916314
Cover Image
The impact of margin interest on the valuation of credit default swaps
Kan, Yu Hang; Pedersen, Claus - In: The journal of derivatives : the official publication … 20 (2012) 1, pp. 60-79
Persistent link: https://www.econbiz.de/10009671707
Cover Image
Interest rate swap credit valuation adjustment
Černý, Jakub; Witzany, Jiří - In: The journal of derivatives : the official publication … 23 (2015) 1, pp. 24-35
Persistent link: https://www.econbiz.de/10011404521
Cover Image
Recent advances in default swap valuation
Cheng, Wai-yan - In: The journal of derivatives : the official publication … 9 (2001) 1, pp. 18-27
Persistent link: https://www.econbiz.de/10001618895
Cover Image
Digital premium
Berd, Arthur M.; Kapoor, Vivek - In: The journal of derivatives : the official publication … 10 (2002) 3, pp. 66-76
Persistent link: https://www.econbiz.de/10001770081
Cover Image
Asymmetric dynamics between informed trading activity and credit default swaps
Hu, Wen-Cheng; Huang, Alex - In: The journal of derivatives : the official publication … 26 (2018) 2, pp. 70-85
Persistent link: https://www.econbiz.de/10011968700
Cover Image
Identifying term structure volatility from the LIBOR-swap curve
Thompson, Samuel B. - In: The review of financial studies 21 (2008) 2, pp. 819-854
Persistent link: https://www.econbiz.de/10003716657
Cover Image
Efficient analytical cascade calibration of the LIBOR market model with endogenous interpolation
Brigo, Damiano; Morini, Massimo - In: The journal of derivatives : the official publication … 14 (2006) 1, pp. 40-60
Persistent link: https://www.econbiz.de/10003379121
Cover Image
On pricing and hedging in the swaption market : how many factors, really?
Fan, Rong; Gupta, Anurag; Ritchken, Peter H. - In: The journal of derivatives : the official publication … 15 (2007) 1, pp. 9-33
Persistent link: https://www.econbiz.de/10003611410
Cover Image
An efficient algorithm for basket default swap valuation
Chiang, Mi-hsiu; Yueh, Meng-lan; Hsieh, Ming-hua - In: The journal of derivatives : the official publication … 15 (2007) 2, pp. 8-19
Persistent link: https://www.econbiz.de/10003673297