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The Information Content of Cross-Market Deviations in Option Prices and Credit Default Swap Spreads

Angelopoulos, Georgios - 2020

Cross-market deviations in equity put option prices and credit default swap spreads are temporal and revert to their …

Persistent link: https://www.econbiz.de/10012857332

Batta, George Eli; Qiu, Jiaping; Yu, Fan - In: The accounting review : a publication of the American … 91 (2016) 5, pp. 1315-1343

Persistent link: https://www.econbiz.de/10011562607

Determinants of credit default swaps spreads in European and Asian markets

Hassan, M. Kabir; Ngow, Thiti S.; Yu, Jung-suk; Hassan, … - In: Journal of derivatives & hedge funds 19 (2013) 4, pp. 295-310

Persistent link: https://www.econbiz.de/10010259397

Attenuated model of pricing credit default swap under the fractional Brownian motion environment

Gu, Wenjing; Liu, Yinglin; Hao, Ruili - In: Journal of mathematical finance 6 (2016) 2, pp. 247-259

Persistent link: https://www.econbiz.de/10011543929

Pricing credit default swap under fractional Vasicek interest rate model

Hao, Ruili; Liu, Yonghui; Wang, Shoubai - In: Journal of mathematical finance 4 (2014) 1, pp. 10-20

Persistent link: https://www.econbiz.de/10010422093

The pricing of single name credit default swap based on jump-diffusion process and volatility with Markov regime shift

Liu, Xianghua; Xiao, Xueping - In: International journal of services technology and management 20 (2014) 1/2/3, pp. 71-84

Persistent link: https://www.econbiz.de/10010505392

From bid-ask credit default swap quotes to risk-neutral default probabilities using distorted expectations

Michielon, Matteo; Khedher, Asma; Spreij, Peter - In: International journal of theoretical and applied finance 24 (2021) 3, pp. 1-22

Persistent link: https://www.econbiz.de/10012652634

Exponential Lévy models extended by a jump to default

Yamazaki, Akira - In: Applied mathematical finance 20 (2013) 3/4, pp. 211-228

Persistent link: https://www.econbiz.de/10010187668

Credit default swaps : a primer and some recent trends

Lando, David - In: Annual review of financial economics 12 (2020), pp. 177-192

Persistent link: https://www.econbiz.de/10012404625

Essays on the market structure and pricing of credit derivatives

Junge, Benjamin - 2016

Mots-clés de l'auteur: Credit Default Swap ; Dodd-Frank Act ; Index Credit Default Swap ; Liquidity Risk ; Over …-The-Counter Markets ; Swap Execution Facility ; Transaction Costs …

Persistent link: https://www.econbiz.de/10011903108

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