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Pricing black-scholes options with correlated credit risk and jump risk
Xu, Weidong; Xu, Weijun; Xiao, Weilin - In: Applied economics letters 22 (2015) 1/3, pp. 87-93
Persistent link: https://www.econbiz.de/10010482058
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Hedging derivatives on two assets with model risk
Matsumoto, Koichi; Shimizu, Keita - In: Asia Pacific financial markets 27 (2020) 1, pp. 83-95
Persistent link: https://www.econbiz.de/10012222377
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Market completion with derivative securities
Schwarz, Daniel C. - In: Finance and stochastics 21 (2017) 1, pp. 263-284
Persistent link: https://www.econbiz.de/10011944367
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The economics of options-implied inflation probability density functions
Kitsul, Yuriy; Wright, Jonathan H. - In: Journal of financial economics 110 (2013) 3, pp. 696-711
Persistent link: https://www.econbiz.de/10010255707
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The valuation of option contracts subject to counterparty risk
Sturn, Raphael Christian Benedikt - 2019
Persistent link: https://www.econbiz.de/10012173134
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A dynamic model approach of securitization and the financial crisis
Mpundu, Mubanga - In: International journal of economics and financial issues … 6 (2016) 4, pp. 1873-1883
Persistent link: https://www.econbiz.de/10011775434
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Risk sharing markets and hedging a loan portfolio: a note
Broll, Udo; Guo, Xu; Welzel, Peter - In: Economics and business review 3 (2017) 4, pp. 47-54
Persistent link: https://www.econbiz.de/10011795807
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Pros and cons of using derivatives
Gogoncea, Ramona; Paun, Ioana-Diana - In: Theoretical and applied economics : GAER review 20 (2013) 9, pp. 87-102
Persistent link: https://www.econbiz.de/10010190844
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Robert C. Merton : The Palgrave Companion to MIT Economics
Bodie, Zvi; Lo, Andrew W. - 2023
Memorial Prize in Economic Sciences in 1997 for a new method to determine the value of derivatives. After receiving a Ph.D. in …
Persistent link: https://www.econbiz.de/10014348991
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Interbank credit exposures and financial stability
Schneorson, Oren - 2022
This paper investigates how interbank credit exposures affect financial stability. Policy makers often see such exposures as undermining stability by exacerbating cascading losses through the financial system. I develop a model that features a trade-off between cascading losses and risk-sharing....
Persistent link: https://www.econbiz.de/10013350529