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Myopic loss aversion, disappointment aversion, and the equity premium puzzle

Fielding, David; Stracca, Livio - 2003

Persistent link: https://www.econbiz.de/10001724668

Härdle, Wolfgang; López Cabrera, Brenda - 2009

. The weather derivative market is therefore incomplete. This paper implements a pricing methodology for weather derivatives …

Persistent link: https://www.econbiz.de/10003796146

Trading spreads and seasonals

Ross, Joe - 1997

Persistent link: https://www.econbiz.de/10001742657

What's vol got to do with it

Drechsler, Itamar; Yaron, Amir - 2010 - Current draft: December 2009

Persistent link: https://www.econbiz.de/10003971762

The pricing of correlated default risk : evidence from the credit derivatives market

Tarashev, Nikola A. (contributor); Zhu, Haibin (contributor) - 2008

order to analyze the pricing of portfolio credit risk as revealed by tranche spreads of a popular credit default swap (CDS) index we extract risk-neutral probabilities of default (PDs) and physical asset return correlations from single-name CDS spreads. The time profile and overall level of...