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European journal of operational research : EJOR
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Mathematical finance - Bachelier Congress, 2000 : selected papers from the first World Congress of the Bachelier Finance Society, Paris, June 29 - July 1, 2000
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Is Normal Backwardation Normal? Valuing Financial Futures with a Stochastic, Endogenous Index-Rate Covariance
Raimbourg, Philippe
-
2019
Revisiting the two-factor valuation of financial futures contracts and their derivatives, we propose a new approach in which the covariance process between the underlying asset price and the money market interest rate is set endogenously according to investors' arbitrage operations. The...
Persistent link: https://www.econbiz.de/10012899151
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Is normal backwardation normal? : valuing financial futures with a local index-rate covariance
Raimbourg, Philippe
;
Zimmermann, Paul
- In:
European journal of operational research : EJOR
298
(
2022
)
1
,
pp. 351-367
Persistent link: https://www.econbiz.de/10013206847
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3
Do firms hedge translation risks?
Bonini, Stefano
;
Dallocchio, Maurizio
;
Raimbourg, Philippe
- In:
Journal of financial management, markets and institutions
4
(
2016
)
2
,
pp. 155-178
Persistent link: https://www.econbiz.de/10011954520
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Pricing credit derivatives in credit classes frameworks
Moraux, Franck
;
Navatte, Patrick
- In:
Mathematical finance - Bachelier Congress, 2000 : …
,
(pp. 339-352)
.
2002
Persistent link: https://www.econbiz.de/10001679457
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