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A closed-form pricing formula for mortgages incorporating termination hazard rates and recovery rate correlated stochastic processes with jump components
Tsai, Ming-shann; Chiang, Shu-ling - In: The journal of derivatives : the official publication … 19 (2012) 3, pp. 49-68
Persistent link: https://www.econbiz.de/10009671107
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A Markov chain model with stochastic default rate for valuation of credit spreads
Kodera, Eiji - In: The journal of derivatives : the official publication … 8 (2001) 4, pp. 8-18
Persistent link: https://www.econbiz.de/10001613575
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Internal model-based capital regulation and bank risk-taking incentives
Kupiec, Paul H. - In: The journal of derivatives : the official publication … 11 (2004) 4, pp. 33-42
Persistent link: https://www.econbiz.de/10002108835
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The subprime credit crisis of 2007
Crouhy, Michel; Jarrow, Robert A.; Turnbull, Stuart M. - In: The journal of derivatives : the official publication … 16 (2008/09) 1, pp. 81-110
Persistent link: https://www.econbiz.de/10003771466
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Evolution of real estate derivatives and their pricing
Fabozzi, Frank J.; Shiller, Robert J.; Tunaru, Radu - In: The journal of derivatives : the official publication … 26 (2019) 3, pp. 7-21
Persistent link: https://www.econbiz.de/10012306146
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Valuation of European options subject to financial distress and interest rate risk
Klein, Peter; Inglis, Michael - In: The journal of derivatives : the official publication … 6 (1999) 3, pp. 44-56
Persistent link: https://www.econbiz.de/10001432493
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Bankruptcy probabilities inferred from option prices
Taylor, Stephen; Tzeng, Chi-Feng; Widdicks, Martin - In: The journal of derivatives : the official publication … 22 (2014) 2, pp. 8-31
Persistent link: https://www.econbiz.de/10011311421
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Credit risk derivatives
Das, Sanjiv R. - In: The journal of derivatives : the official publication … 2 (1995) 3, pp. 7-23
Persistent link: https://www.econbiz.de/10001219525
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Credit spread options valuation under GARCH
Tahani, Nabil - In: The journal of derivatives : the official publication … 14 (2006) 1, pp. 27-39
Persistent link: https://www.econbiz.de/10003379106
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A simple and efficient two-factor willow tree method for convertible bond pricing with stochastic interest rate and default risk
Lu, Ling; Xu, Wei - In: The journal of derivatives : the official publication … 25 (2017) 1, pp. 37-54
Persistent link: https://www.econbiz.de/10011931521