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Heat kernel models for asset pricing

Macrina, Andrea - In: International journal of theoretical and applied finance 17 (2014) 7, pp. 1-34

Persistent link: https://www.econbiz.de/10010498834

Valuation of stock loans with jump risk

Cai, Ning; Sun, Lihua - In: Journal of economic dynamics & control 40 (2014), pp. 213-241

Persistent link: https://www.econbiz.de/10010424378

Option pricing for pure jump processes with Markov switching compensators

Elliott, Robert J. R.; Osakwe, Carlton-James U. - In: Finance and stochastics 10 (2006) 2, pp. 250-275

Persistent link: https://www.econbiz.de/10003334921

Sovereign credit risk and stock markets : does the markets’ dependency increase with financial Distress?

Silva, Paulo Pereira da - In: International Journal of Financial Studies : open … 2 (2014) 1, pp. 145-167

This paper addresses the relationship between stock markets and credit default swaps (CDS) markets. In particular, I aim to gauge if the co-movement between stock prices and sovereign CDS spreads increases with the deterioration of the credit quality of sovereign debt. The analysis of...

Persistent link: https://www.econbiz.de/10010373349