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A two-factor, preference-free model for interest rate sensitive claims

Chen, Ren-Raw - In: The journal of futures markets 15 (1995) 3, pp. 345-372

Persistent link: https://www.econbiz.de/10001180184

Options in Structured Notes : Fix the Price or Fix the Spread?

Finnerty, John D. - 2014

We derive consistent contingent-claims models for valuing implicit options embedded in structured notes, and use them to compare the cost of fixing the spread with that of fixing the price in bond tender offers. We analyze 289 bond tender offers and find that the cost difference is economically...

Persistent link: https://www.econbiz.de/10013047698

Corporate credit default swap liquidity and its implications for corporate bond spreads

Chen, Ren-Raw; Fabozzi, Frank J.; Sverdlove, Ronald - In: The journal of fixed income 20 (2010/11) 2, pp. 31-57

Persistent link: https://www.econbiz.de/10008667946

An explicit, multi-factor credit default swap pricing model with correlated factors

Chen, Ren-Raw; Cheng, Xiaolin; Fabozzi, Frank J.; Liu, Bo - In: Journal of financial and quantitative analysis : JFQA 43 (2008) 1, pp. 123-160

Persistent link: https://www.econbiz.de/10003692397

Market risk of mortgage-backed securities with consistent measures

Chen, Ren-Raw; Liao, Hsien-hsing; Yang, Tyler T. - In: The journal of real estate finance and economics 36 (2008) 1, pp. 121-140

Persistent link: https://www.econbiz.de/10003622062

Pricing the term structure of inflation risk premia : theory and evidence from TIPS

Chen, Ren-Raw; Liu, Bo; Cheng, Xiaolin - In: Journal of empirical finance 17 (2010) 4, pp. 702-721

Persistent link: https://www.econbiz.de/10009267256

Analytical bounds for Treasury bond futures prices

Chen, Ren-Raw; Yeh, Shih-kuo - In: Review of quantitative finance and accounting 39 (2012) 2, pp. 209-239

Persistent link: https://www.econbiz.de/10009629083

Dynamic interactions between interest-rate and credit risk : theory and evidence on the credit default swap term structure

Chen, Ren-Raw; Cheng, Xiaolin; Wu, Liuren - In: Review of finance : journal of the European Finance … 17 (2013) 1, pp. 403-441

Persistent link: https://www.econbiz.de/10009715216

A simple multi-factor, time-dependent-parameter model for the term structure of interest rates

Chen, Ren-Raw; Yang, Tyler - In: Review of quantitative finance and accounting 19 (2002) 1, pp. 5-20

Persistent link: https://www.econbiz.de/10001698787

Multi-factor Cox-Ingersoll-Ross models of the term structure : estimates and tests from a Kalman filter model

Chen, Ren-Raw; Scott, Louis O. - In: The journal of real estate finance and economics 27 (2003) 2, pp. 143-172

Persistent link: https://www.econbiz.de/10001788887