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Credit risk in interest rate swaps in different currencies : a simulation approach
Lund, Arild J.; Pak, Sŏng-hun - 1991
Persistent link: https://www.econbiz.de/10000813810
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Empirical studies of bond and credit markets
Feldhütter, Peter - 2007 - 1. ed.
Persistent link: https://www.econbiz.de/10003525474
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Model risk in variance swap rates
Alexander, Carol; Leontsinis, Stamatis - 2011
Persistent link: https://www.econbiz.de/10009375514
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Two new equity default swaps with idiosyncratic risk
Yang, Zhaojun; Zhang, Chunhong - In: International review of economics & finance : IREF 37 (2015), pp. 254-273
Persistent link: https://www.econbiz.de/10011542095
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Variance swaps, non-normality and macroeconomic and financial risks
Nieto Domenech, Belen; Novales, Alfonso; Rubio, Gonzalo - In: The quarterly review of economics and finance : journal … 54 (2014) 2, pp. 257-270
Persistent link: https://www.econbiz.de/10010467548
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Macroeconomic derivatives : more viable than first thought!
Bansal, Vipul K. - In: Global finance journal 6 (1995) 2, pp. 101-110
Persistent link: https://www.econbiz.de/10001201365
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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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Essays on swaps and default risk
Mozumdar, Abon - 1997
Persistent link: https://www.econbiz.de/10000982059
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The default risk of swaps
Cooper, Ian; Mello, António S. - 1989
Persistent link: https://www.econbiz.de/10000843131
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Model Risk in Variance Swap Rates
Alexander, Carol - 2011
Different theoretical and numerical methods for calculating the fair-value of a variance swap give rise to systematic … observed on fair-value index variance swap rates during the banking crisis in 2008, depending on the formula used and its … swap rates. The exchange's variance swap rate formula, used to quote volatility indices such as VIX, has an upward bias …
Persistent link: https://www.econbiz.de/10013124412