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Interest rate risk - Lois: Credit and liquidity - The spread between Libor and overnight index swap rates used to be negligible — Until the crisis. Its behaviour since can be expla...
Crépey, Stéphane; Douady, Raphaël - In: Risk : managing risk in the world's financial markets 26 (2013) 6, pp. 78-83
Persistent link: https://www.econbiz.de/10010138260
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Delta-hedging correlation risk?
Cousin, Areski; Crépey, Stéphane; Kan, Yu Hang - In: Review of derivatives research 15 (2012) 1, pp. 25-57
Persistent link: https://www.econbiz.de/10009843785
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Pricing convertible bonds with call protection
Crépey, Stéphane; Rahal, Abdallah - In: The journal of computational finance 15 (2011) 2, pp. 37-77
Persistent link: https://www.econbiz.de/10009816296
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DEFAULTABLE OPTIONS IN A MARKOVIAN INTENSITY MODEL OF CREDIT RISK
Bielecki, Tomasz R.; Crépey, Stéphane; Jeanblanc, Monique - In: Mathematical finance : an international journal of … 18 (2008) 4, pp. 493-518
Persistent link: https://www.econbiz.de/10008103933