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Liquidity risk in credit default swap markets

Junge, Benjamin; Trolle, Anders B. - In: Essays on the market structure and pricing of credit …, (pp. 1-33, 105-123). 2016

The first chapter, which is joint work with Anders B. Trolle, analyzes whether liquidity risk is priced in the cross section of returns on credit default swaps (CDSs). The analysis is based on a factor pricing model and a tradable liquidity factor that is constructed from returns on index...

Persistent link: https://www.econbiz.de/10011903311

Market structure and transaction costs of index CDSs

Junge, Benjamin; Collin-Dufresne, Pierre; Trolle, Anders B. - In: Essays on the market structure and pricing of credit …, (pp. 35-68, 125-167). 2016

The second chapter, which is joint work with Pierre Collin-Dufresne and Anders B. Trolle, analyzes transaction costs in the dealer-to-customer (D2C) and dealer-to-dealer (D2D) segments of the post-Dodd-Frank index CDS market. Dodd-Frank regulations that made all-to-all trading possible had the...

Persistent link: https://www.econbiz.de/10011903312

The valuation of warrants : implementing a new approach

Schwartz, Eduardo S. - In: Options : classic approaches to pricing and modelling, (pp. 217-231). 1999

Persistent link: https://www.econbiz.de/10001772456

Caps on adjustable rate mortgages : valuation, insurance, and hedging

Schwartz, Eduardo S. - In: Financial markets and financial crises : [presented at …, (pp. 283-303). 1991

Persistent link: https://www.econbiz.de/10001280249

Theory of storage and the pricing of commodity claims

Nielsen, Martin J.; Schwartz, Eduardo S. - In: Five essays on commodity pricing, irreversible …, (pp. 5-28). 2002

Persistent link: https://www.econbiz.de/10001733699

Evaluating investments in disruptive technologies

Schwartz, Eduardo S.; Zozaya-Gorostiza, Carlos - In: Mathematical finance - Bachelier Congress, 2000 : …, (pp. 463-486). 2002

Persistent link: https://www.econbiz.de/10001679465

Stable modeling of market and credit value at risk

Račev, Svetlozar T.; Schwartz, Eduardo S.; Khindanova, … - In: Handbook of heavy tailed distributions in finance, (pp. 249-328). 2003

Persistent link: https://www.econbiz.de/10001882089

Stable non-Gaussian models for credit risk management

Martin, Bernhard; Račev, Svetlozar T.; Schwartz, Eduardo S. - In: Handbook of heavy tailed distributions in finance, (pp. 405-441). 2003

Persistent link: https://www.econbiz.de/10001882167

Multifactor stochastic variance models in risk management : maximum entropy approach and lévy processes

Levin, Alexander; Tchernister, Alexander; Schwartz, … - In: Handbook of heavy tailed distributions in finance, (pp. 443-480). 2003

Persistent link: https://www.econbiz.de/10001882183

Asset liability management : a review and some new results in the presence of heavy tails

Tokat, Yesim; Račev, Svetlozar T.; Schwartz, Eduardo S. - In: Handbook of heavy tailed distributions in finance, (pp. 509-546). 2003

Persistent link: https://www.econbiz.de/10001882195