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Pricingcounterparty risk including collateralization, netting rules, re-hypothecation and wrong-way risk
Brigo, Damiano; Capponi, Agostino; Pallavicini, Andrea; … - In: International journal of theoretical and applied finance 16 (2013) 2, pp. 1-16
Persistent link: https://www.econbiz.de/10009748723
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The effects of exchange-rate exposures on equity asset markets
Jumah, Adusei; Kunst, Robert M. - 2001
examines how well exchange rate volatility explains movements in stock market returns. The model-based predictions are …
Persistent link: https://www.econbiz.de/10009724429
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Bank capital regulation in a cap option framework
Tsai, Jeng-yan; Hung, Wei-ming - In: International review of economics & finance : IREF 25 (2013), pp. 66-74
Persistent link: https://www.econbiz.de/10009693338
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The investor behavior and futures market volatility : a theory and empirical study based on the OLG model and high-frequency data
Wang, Yun; Hua, Renhai; Zhang, Zongcheng - In: China finance review international 1 (2011) 4, pp. 388-407
Persistent link: https://www.econbiz.de/10009657765
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Scientific stochastic volatility models for the salmon forward market : forcasting (un)-conditional moments
Solibakke, Per Bjarte - In: Aquaculture economics & management : official journal … 16 (2012) 3, pp. 222-249
Persistent link: https://www.econbiz.de/10009707234
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Modeling structural equations with endogenous regressors and heterogeneity through derivative constraints
Rau, Tomás - In: Quantitative economics : QE ; journal of the … 4 (2013) 1, pp. 125-148
Persistent link: https://www.econbiz.de/10009759916
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A multivariate default model with spread and event risk
Mai, Jan-Frederik; Olivares, Pablo; Schenk, Steffen; … - In: Applied mathematical finance 21 (2014) 1/2, pp. 51-83
Persistent link: https://www.econbiz.de/10010351857
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Liquidity-induced dynamics in futures markets
Fagan, Stephen; Gençay, Ramazan - 2007
liquid instrument suffers from liquidity shocks that induce periods of increased volatility and significant return …
Persistent link: https://www.econbiz.de/10011523414
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Robust portfolio choice with derivative trading under stochastic volatility
Escobar, Marcos; Ferrando, Sebastian; Rubtsov, Alexey - In: Journal of banking & finance 61 (2015), pp. 142-157
Persistent link: https://www.econbiz.de/10011545164
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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