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Optimal arbitrage strategies under basis variability

Brennan, Michael J. - In: Essays in financial economics in memory of Irwin Friend, (pp. 167-180). 1988

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Valuing debt options : empir. evidence

Dietrich-Campbell, Bruce - In: Journal of financial economics 16 (1986) 3, pp. 321-343

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Valuing credit derivatives

Longstaff, Francis A. - In: The journal of fixed income 5 (1995) 1, pp. 6-12

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Time-dependent variance and the pricing bond options

Schaefer, Stephen M. - In: The journal of finance : the journal of the American … 42 (1987) 5, pp. 1113-1128

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Trading activity in the equity market and its contingent claims : an empirical investigation

Roll, Richard; Schwartz, Eduardo S.; Subrahmanyam, Avanidhar - In: Journal of empirical finance 28 (2014), pp. 13-35

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Electricity prices and power derivatives : evidence from the Nordic power exchange

Lucia, Julio J.; Schwartz, Eduardo S. - In: Review of derivatives research 5 (2002) 1, pp. 5-50

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A general stochastic volatility model for the pricing of interest rate derivatives

Trolle, Anders B.; Schwartz, Eduardo S. - In: The review of financial studies 22 (2009) 5, pp. 2007-2057

Persistent link: https://www.econbiz.de/10003886038

A general stochastic volatility model for the pricing and forecasting of interest rate derivatives

Trolle, Anders B.; Schwartz, Eduardo S. - 2006

Persistent link: https://www.econbiz.de/10003343404

Price discovery limits in the credit default swap market in the financial crisis

Pavlov, Andrey D.; Schwartz, Eduardo; Wachter, Susan M. - In: The journal of real estate finance and economics 62 (2021) 2, pp. 165-186

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A General Stochastic Volatility Model for the Pricing and Forecasting of Interest Rate Derivatives

Trolle, Anders B. - 2010

We develop a tractable and flexible stochastic volatility multi-factor model of the term structure of interest rates. It features correlations between innovations to forward rates and volatilities, quasi-analytical prices of zero-coupon bond options and dynamics of the forward rate curve, under...

Persistent link: https://www.econbiz.de/10012761268