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The determinants of CDS bid-ask spreads
Lei Meng; Ap Gwilym, Owain - In: The journal of derivatives : the official publication … 16 (2008/09) 1, pp. 70-80
Persistent link: https://www.econbiz.de/10003771461
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A simple and accurate simulation approach to the Heston model
Zhu, Jianwei - In: The journal of derivatives : the official publication … 18 (2011) 3, pp. 26-36
Persistent link: https://www.econbiz.de/10009229668
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Mispricing and arbitrage in CDS auctions
Gupta, Sudip; Sundaram, Rangarajan K. - In: The journal of derivatives : the official publication … 22 (2015) 4, pp. 79-91
Persistent link: https://www.econbiz.de/10011399779
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CDS auctions and recovery rates: an appraisal
Sundaram, Rangarajan K. - In: The journal of derivatives : the official publication … 20 (2012) 3, pp. 97-102
Persistent link: https://www.econbiz.de/10009725345
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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
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Inventory effects, the winner's curse, and bid shading in credit default swap auciton outcomes
Gupta, Sudip; Sundaram, Rangarajan K. - In: The journal of derivatives : the official publication … 23 (2015) 1, pp. 36-52
Persistent link: https://www.econbiz.de/10011404523
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Valuation of CDO and an n-th default CDS without Monte Carlo simulation
Hull, John; White, Alan - In: The journal of derivatives : the official publication … 12 (2004) 2, pp. 8-23
Persistent link: https://www.econbiz.de/10002535939
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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
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Valuing credit default swaps [Part] 2 : modeling default correlations
Hull, John; White, Alan - In: The journal of derivatives : the official publication … 8 (2001) 3, pp. 12-21
Persistent link: https://www.econbiz.de/10001581190
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Valuing credit default swaps I : no counterparty default risk
Hull, John; White, Alan - In: The journal of derivatives : the official publication … 8 (2000) 1, pp. 29-40
Persistent link: https://www.econbiz.de/10001522317