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Arbitrage-free bilateral counterparty risk valuation under collateralization and application to credit default swaps

Brigo, Damiano; Capponi, Agostino; Pallavicini, Andrea - In: Mathematical finance : an international journal of … 24 (2014) 1, pp. 125-146

Persistent link: https://www.econbiz.de/10010256178

Credit default swaps valuation

Chen, Ren-Raw; Fabozzi, Frank J.; O'Kane, Dominic - 2008

Persistent link: https://www.econbiz.de/10003765787

The handbook of stock index futures and options

Fabozzi, Frank J. (ed.); Kipnis, Gregory M. (contributor) - 1989

Persistent link: https://www.econbiz.de/10013548657

Using the lattice model to value forward start swaps and swaptions

Buetow, Gerald W.; Fabozzi, Frank J. - In: Interest rate, term structure, and valuation modeling, (pp. 379-420). 2002

Persistent link: https://www.econbiz.de/10001734185

Credit derivatives primer

Fabozzi, Frank J.; Choudhry, Moorad; Anson, Mark J. P.; … - In: The handbook of European structured financial products, (pp. 57-76). 2004

Persistent link: https://www.econbiz.de/10002010526

Property derivatives for managing European real-estate risk

Fabozzi, Frank J.; Shiller, Robert J.; Tunaru, Radu S. - In: European financial management : the journal of the … 16 (2010) 1, pp. 8-26

Persistent link: https://www.econbiz.de/10003926684

Interest-rate swaps and swaptions

Fabozzi, Frank J.; Mann, Steven V.; Choudhry, Moorad - In: The handbook of fixed income securities, (pp. 1249-1281). 2005

Persistent link: https://www.econbiz.de/10003055314

OTC equity derivatives

Collins, Bruce M.; Fabozzi, Frank J. - 2008

Persistent link: https://www.econbiz.de/10003763508

Inflation-Adjusted Bonds, Swaps and Derivatives

Jarrow, Robert A.; Yildirim, Yildiray - 2023

The purpose of this paper is to review the literature on inflation-adjusted bonds, swaps, and derivatives. The methodology for valuation and risk management of these securities is an application of the foreign currency extension of a standard HJM term structure model. The two “currencies” in...

Persistent link: https://www.econbiz.de/10014355578

Inflation-adjusted bonds, swaps, and derivatives

Jarrow, Robert A.; Yildirim, Yildiray - In: Annual review of financial economics 15 (2023), pp. 449-471

Persistent link: https://www.econbiz.de/10014426345