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Efficiency in large dynamic panel models with common factors

Gagliardini, Patrick; Gouriéroux, Christian - In: Econometric theory 30 (2014) 5, pp. 961-1020

Persistent link: https://www.econbiz.de/10010502133

Accounting-based risk measurement : an alternative to capital asset pricing model derived discount factors

Toms, Steven - In: Australian accounting review 22 (2012) 4, pp. 398-406

Persistent link: https://www.econbiz.de/10009703273

Security analysis, portfolio management, and financial derivatives

Lee, Cheng F.; Finnerty, Joseph E.; Lee, John; Lee, Alice C. - 2013

Persistent link: https://www.econbiz.de/10009679336

A computational study on general equilibrium pricing of derivative securities

Thijssen, Jacco J. J. - In: Annals of finance 4 (2008) 4, pp. 505-523

Persistent link: https://www.econbiz.de/10003737208

Pricing model for financial guaranty products using actuarial methodology and most prudent principle

Yang, Jinyu; Zhang, Wei-guo; Li, Donglai - In: International journal of financial research 6 (2015) 1, pp. 101-110

Persistent link: https://www.econbiz.de/10011407272

Default swaps and hedging credit baskets

Schmidt, Wolfgang M. - 2007

We investigate the pricing of basket credit derivatives and their hedging with single name credit default swaps (CDS) based on a model for the joint dynamics of the fair CDS spreads. In the situation of the market flow of information being a pure jump filtration, we present an extremely...

Persistent link: https://www.econbiz.de/10011293931