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Econometric specification of the risk neutral valuation model

Clément, Emmanuelle; Gouriéroux, Christian; Monfort, Alain - 1997

Persistent link: https://www.econbiz.de/10000975624

Une approche unifiée pour une forme exacte du prix d'une option dans les différents modèles à volatilité stochastique

Leblanc, Boris - 1995

Persistent link: https://www.econbiz.de/10000908668

Pricing of non-redundant derivatives in a complete market

Bizid, Abdelhamid; Jouini, Elyès; Koehl, Pierre-François - 1997

Persistent link: https://www.econbiz.de/10000980446

Pricing in incomplete markets : an equilibrium approach

Bizid, Abdelhamid; Jouini, Elyès; Koehl, Pierre-François - 1997

Persistent link: https://www.econbiz.de/10000980452

Arbitrage pricing of derivatives with bounds on the underlying securities

Jouini, Elyès; Kallal, Hédi D.; Napp, Clotilde - 1998

Persistent link: https://www.econbiz.de/10000993505

Continuous time equilibrium pricing of nonredundant assets

Jouini, Elyès; Napp, Clotilde - 1998

Persistent link: https://www.econbiz.de/10000993546

Securisation special purpose entities, bank sponsors and derivatives

Fiedor, Paweł; Killeen, Neill - 2019

-2017. We find that larger entities that already engage in international capital markets are more likely to have derivative … engage in derivative markets. The characteristics of these bank sponsors are important in determining SPEs' engagement in … derivative markets. SPEs' heavy reliance on debt finance coupled with their strong interconnectedness with bank sponsors …

Persistent link: https://www.econbiz.de/10012036028

Compressing over-the-counter markets

D'Errico, Marco; Roukny, Tarik - 2017

In this paper, we show both theoretically and empirically that the size of over-the-counter (OTC) markets can be reduced without affecting individual net positions. First, we find that the networked nature of these markets generates an excess of notional obligations between the aggregate gross...

Persistent link: https://www.econbiz.de/10011976943

Assessing contagion risks from the CDS market

Brunnermeier, Markus Konrad; Clerc, Laurent; El Omari, Yanis - 2013

Over the past few years the CDS market's role has evolved from mostly providing default protection towards credit risk trading. The first-ever credit event in a developed country's sovereign CDS has further highlighted the importance of the CDS market from a macro-prudential perspective....

Persistent link: https://www.econbiz.de/10011972792

Valuing the right to tax incomes : an options pricing approach

Draaisma, Teun - 1996

Persistent link: https://www.econbiz.de/10000931831

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