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A comparative analysis of CDO pricing models under the factor copula framework
Burtschell, Xavier; Gregory, Jon; Laurent, Jean-Paul - In: The journal of derivatives : the official publication … 16 (2008/09) 4, pp. 9-37
Persistent link: https://www.econbiz.de/10003862752
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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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The valuation of credit default swap options
Hull, John; White, Alan - In: The journal of derivatives : the official publication … 10 (2002) 3, pp. 40-50
Persistent link: https://www.econbiz.de/10001770070
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Pricing and hedging convertible bonds under non-probabilitic interest rates
Ėpštejn, David B.; Haber, Richard; Wilmott, Paul - In: The journal of derivatives : the official publication … 7 (2000) 4, pp. 31-40
Persistent link: https://www.econbiz.de/10001500035
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Valuation of convertible bonds with credit risk
Ayache, E.; Forsyth, Peter A.; Vetzal, Kenneth R. - In: The journal of derivatives : the official publication … 11 (2003) 1, pp. 9-29
Persistent link: https://www.econbiz.de/10001798981
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Implied correlations : smiles or smirks?
Agca, Senay; Agrawal, Deepak; Islam, Saiyid - In: The journal of derivatives : the official publication … 16 (2008/09) 2, pp. 7-35
Persistent link: https://www.econbiz.de/10003795256
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Force-fitting CDS spreads to CDS index swaps
O'Kane, Dominic - In: The journal of derivatives : the official publication … 18 (2011) 3, pp. 61-74
Persistent link: https://www.econbiz.de/10008986595
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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