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An analysis of the ex ante probabilities of mortgage prepayment and default
Yang, Tyler T.; Buist, Henry; Megbolugbe, Isaac F. - In: Real estate economics : journal of the American Real … 26 (1998) 4, pp. 651-676
Persistent link: https://www.econbiz.de/10001356962
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Market risk and model risk for a financial institution writing options
Green, Tracy Clifton; Figlewski, Stephen - In: The journal of finance : the journal of the American … 54 (1999) 4, pp. 1465-1499
Persistent link: https://www.econbiz.de/10001395780
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The valuation of default risk in corporate bonds and interest rate swaps
Nielsen, Soren S. - In: Advances in futures and options research : a research annual 9 (1997), pp. 175-196
Persistent link: https://www.econbiz.de/10001226756
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Derivatives and the price of risk
Bollen, Nicolas P. B. - In: The journal of futures markets 17 (1997) 7, pp. 839-854
Persistent link: https://www.econbiz.de/10001228456
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A model for corporate bonds and the pricing of interest rate swaps with credit risk
Sun, Tong-sheng - In: International journal of business 1 (1996) 1, pp. 1-25
Persistent link: https://www.econbiz.de/10001201543
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Mortgage termination : an empirical hazard model with a stochastic term structure
Deng, Yongheng - In: The journal of real estate finance and economics 14 (1997) 3, pp. 309-331
Persistent link: https://www.econbiz.de/10001222221
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Real options and investment under uncertainty : what do we know?
Trigeorgis, Lenos - 2002
Persistent link: https://www.econbiz.de/10011623307
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A bound on expected stock returns
Kadan, Ohad; Tang, Xiaoxiao - In: The review of financial studies 33 (2020) 4, pp. 1565-1617
Persistent link: https://www.econbiz.de/10012198410
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A new predictor of U.S. real economic activity : the S&P 500 option implied risk aversion
Faccini, Renato; Konstantinidi, Eirini; Skiadopoulos, George - 2018
risk aversion (IRRA) extracted from S&P 500 option prices. IRRA is forward-looking and hence, it is expected to be related … the U.S. economy can explain the documented negative relation between risk aversion and future economic growth. …
Persistent link: https://www.econbiz.de/10011787902
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Cancellation strategies in commercial real estate leasing
Mooradian, Robert M.; Yang, Shiawee X. - In: Real estate economics : journal of the American Real … 28 (2000) 1, pp. 65-88
Persistent link: https://www.econbiz.de/10001487094