Similar Search Results

The end of the waterfall : default resources of central counterparties

Cont, Rama - In: Journal of risk management in financial institutions 8 (2015) 4, pp. 365-389

Persistent link: https://www.econbiz.de/10011531210

Forward equations for portfolio credit derivatives

Cont, Rama; Savescu, Ioana - In: Frontiers in quantitative finance : volatility and …, (pp. 269-293). 2009

Persistent link: https://www.econbiz.de/10003787608

A consitent pricing model for index options and volatility derivatives

Cont, Rama; Kokholm, Thomas - 2009

Persistent link: https://www.econbiz.de/10003910630

Forward equations for option prices in semimartingale models

Bentata, Amel; Cont, Rama - In: Finance and stochastics 19 (2015) 3, pp. 617-651

Persistent link: https://www.econbiz.de/10011418317

Recovering portfolio default intensities implied by CDO quotes

Cont, Rama; Minca, Andreea - In: Mathematical finance : an international journal of … 23 (2013) 1, pp. 94-121

Persistent link: https://www.econbiz.de/10009712557

A consistent pricing model for index options and volatility derivatives

Cont, Rama; Kokholm, Thomas - In: Mathematical finance : an international journal of … 23 (2013) 2, pp. 248-274

Persistent link: https://www.econbiz.de/10009721749

Frontiers in quantitative finance : volatility and credit risk modeling

Cont, Rama (ed.) - 2009

Persistent link: https://www.econbiz.de/10003722007

Credit derivatives and structured credit : a guide for investors

Bruyère, Richard - 2006

Persistent link: https://www.econbiz.de/10003106500

Central Clearing of OTC Derivatives : Bilateral vs Multilateral Netting

Cont, Rama - 2013

We study the impact of central clearing of over-the-counter (OTC) transactions on counterparty exposures in a market with OTC transactions across several asset classes with heterogeneous characteristics. The impact of introducing a central counterparty (CCP) on expected interdealer exposure is...

Persistent link: https://www.econbiz.de/10013085146

Central Clearing of OTC Derivatives : Bilateral vs Multilateral Netting

Cont, Rama - 2013

We study the impact of central clearing of over-the-counter (OTC) transactions on counterparty exposures in a market with OTC transactions across several asset classes with heterogeneous characteristics. We find that the impact, on total expected interdealer exposure, of introducing a central...

Persistent link: https://www.econbiz.de/10013090303