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Credit default swaps and financial stability
Cont, Rama - In: Financial stability review : FSR 14 (2010), pp. 35-43
Persistent link: https://www.econbiz.de/10009921105
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CUTTING EDGE - Market risk - A dynamic model for hard-to-borrow stocks - Traders with short positions in stocks that are subject to short-selling restrictions risk being 'bought in...
Avellaneda, Marco; Lipkin, Mike - In: Risk : managing risk in the world's financial markets 22 (2009) 6, pp. 92-97
Persistent link: https://www.econbiz.de/10008265091
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On parabolic equations with gauge function term and applications to the multidimensional Leland equation
Kampen, Jörg; Avellaneda, Marco - In: Applied mathematical finance 10 (2003) 3, pp. 215-228
Persistent link: https://www.econbiz.de/10008215184
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PAPERS - Combinatorial implications of nonlinear uncertain volatility models: Case of barrier options
Avellaneda, Marco; Buff, Robert - In: Applied mathematical finance 6 (1999) 1, pp. 1-18
Persistent link: https://www.econbiz.de/10008218059
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Equity derivatives: Reconstructing volatility
Avellaneda, Marco; Boyer-Olson, Dash; Busca, Jérôme; … - In: Risk : managing risk in the world's financial markets 15 (2002) 10, pp. 87-92
Persistent link: https://www.econbiz.de/10007035136
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Default models: Distance to default - So-called default barrier models were devised to enforce consistency between credit spread or ratings-based and firm value-based estimates of...
Avellaneda, Marco; Zhu, Jingyi - In: Risk : managing risk in the world's financial markets 14 (2001) 12, pp. 125-130
Persistent link: https://www.econbiz.de/10007040150
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Stochastic Models of Implied Volatility Surfaces
Cont, Rama; Fonseca, José da; Durrleman, Valdo - In: Economic notes : economic review of Banca Monte dei … 31 (2002) 2, pp. 361-378
Persistent link: https://www.econbiz.de/10006034006
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CONSTANT PROPORTION PORTFOLIO INSURANCE IN THE PRESENCE OF JUMPS IN ASSET PRICES
Cont, Rama; Tankov, Peter - In: Mathematical finance : an international journal of … 19 (2009) 3, pp. 379-402
Persistent link: https://www.econbiz.de/10008270133
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A Stochastic Model for Order Book Dynamics
Cont, Rama; Stoikov, Sasha; Talreja, Rishi - In: Operations research : the journal of the Operations … 58 (2010) 3, pp. 549-564
Persistent link: https://www.econbiz.de/10008427898
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Integro-differential equations for option prices in exponential Lévy models
Cont, Rama; Voltchkova, Ekaterina - In: Finance and stochastics 9 (2005) 3, pp. 299-326
Persistent link: https://www.econbiz.de/10008214298