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A leverage ratio rule for capital adequacy

Jarrow, Robert A. - In: Journal of banking & finance 37 (2013) 3, pp. 973-976

Persistent link: https://www.econbiz.de/10009708725

Stock options and credit default swaps : a joint framework for valuation and estimation

Carr, Peter; Wu, Liuren - In: Journal of financial econometrics : official journal of … 8 (2010) 4, pp. 409-449

Persistent link: https://www.econbiz.de/10008665748

Theory and evidence on the dynamic interactions between sovereign credit default swaps and currency options

Carr, Peter; Wu, Liuren - In: Journal of banking & finance 31 (2007) 8, pp. 2383-2403

Persistent link: https://www.econbiz.de/10003522944

The forward PDE for European options on stocks with fixed fractional jumps

Carr, Peter; Javaheri, Alireza - In: International journal of theoretical and applied finance 8 (2005) 2, pp. 239-253

Persistent link: https://www.econbiz.de/10002679581

Derivatives pricing under bilateral counterparty risk

Carr, Peter; Ghamami, Samim - In: Journal of risk 20 (2017/2018) 1, pp. 77-107

Persistent link: https://www.econbiz.de/10011847436

THE FORWARD PDE FOR EUROPEAN OPTIONS ON STOCKS WITH FIXED FRACTIONAL JUMPS

CARR, PETER; JAVAHERI, ALIREZA - In: International Journal of Theoretical and Applied … 08 (2005) 02, pp. 239-253

We derive a partial integro differential equation (PIDE) which relates the price of a calendar spread to the prices of butterfly spreads and the functions describing the evolution of the process. These evolution functions are the forward local variance rate and a new concept called the forward...

Persistent link: https://www.econbiz.de/10004971757