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The relative valuation of caps and swaptions : theory and empirical evidence

Longstaff, Francis A.; Santa-Clara, Pedro; Schwartz, … - In: The journal of finance : the journal of the American … 56 (2001) 6, pp. 2067-2109

Persistent link: https://www.econbiz.de/10001631728

Throwing away a billion dollars : the cost of suboptimal exercise strategies in the swaptions market

Longstaff, Francis A.; Santa-Clara, Pedro; Schwartz, … - In: Journal of financial economics 62 (2001) 1, pp. 39-66

Persistent link: https://www.econbiz.de/10001608810

A structural model of default risk

Hsu, Jason C.; Saá-Requejo, Jesús; Santa-Clara, Pedro - In: The journal of fixed income 19 (2009/10) 3, pp. 77-94

Persistent link: https://www.econbiz.de/10003940863

Default risk and interest rate risk : the term structure of default spreads

Nielsen, Lars T.; Saá-Requejo, Jesús; Santa-Clara, Pedro - 1993

Persistent link: https://www.econbiz.de/10001723225

A Structural Model of Default Risk

Hsu, Jason C. - 2016

The authors price corporate debt from a structural model of firm default. They assume that the capital market brings about efficient firm default when the continuation value of the firm falls below the value it would have after bankruptcy restructuring. This characterization of default makes the...

Persistent link: https://www.econbiz.de/10013008925

Two trees

Cochrane, John H.; Longstaff, Francis A.; Santa-Clara, Pedro - In: The review of financial studies 21 (2008) 1, pp. 347-385

Persistent link: https://www.econbiz.de/10003716171

Parametric portfolio policies : exploiting characteristics in the cross-section of equity returns

Brandt, Michael W.; Santa-Clara, Pedro; Valkanov, Rossen I. - In: The review of financial studies 22 (2009) 9, pp. 3411-3447

Persistent link: https://www.econbiz.de/10003885704

The asset allocation puzzle is still a puzzle

Lioui, Abraham - In: Journal of economic dynamics & control 31 (2007) 4, pp. 1185-1216

Persistent link: https://www.econbiz.de/10003443369

Dynamic portfolio selection by augmenting the asset space

Brandt, Michael W.; Santa-Clara, Pedro - In: The journal of finance : the journal of the American … 61 (2006) 5, pp. 2187-2217

Persistent link: https://www.econbiz.de/10003378702

Practitioner portfolio construction and performance measurement : evidence from Europe

Amenc, Noël; Goltz, Felix; Lioui, Abraham - In: Financial analysts' journal : FAJ 67 (2011) 3, pp. 39-50

Persistent link: https://www.econbiz.de/10009228990