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Pricing and hedging insurance products in hybrid markets
Widenmann, Jan Maximilian - 2013 - 1. Aufl.
Persistent link: https://www.econbiz.de/10010239711
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Die Eigenschaften der Duration
Reichling, Peter; Bietke, Daniela - In: Das Wirtschaftsstudium : wisu ; Zeitschrift für … 35 (2006) 5, pp. 654-662
Persistent link: https://www.econbiz.de/10003320259
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Affine models for credit risk analysis
Gouriéroux, Christian; Monfort, Alain; Polimenis, V. - In: Journal of financial econometrics : official journal of … 4 (2006) 3, pp. 494-530
Persistent link: https://www.econbiz.de/10003354119
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Affine model for credit risk analysis
Gouriéroux, Christian; Monfort, Alain; Polimenis, Vassilis - 2005
Persistent link: https://www.econbiz.de/10003333870
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Uses of duration analysis for the control of interest rate risk
Toevs, Alden L. - In: Controlling interest rate risk : new techniques and …, (pp. 28-61). 1986
Persistent link: https://www.econbiz.de/10001261111
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The behavior of emerging market sovereigns' credit default swap premiums and bond yield spreads
Adler, Michael; Song, Jeong - In: International journal of finance & economics : IJFE 15 (2010) 1, pp. 31-58
Persistent link: https://www.econbiz.de/10008702370
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A novel partial integrodifferential equation-based framework for pricing interest rate derivatives under jump-extended short-rate models
Coonjobeharry, Radha Krishn; Tangman, Désiré Yannick; … - In: The journal of computational finance 18 (2014/2015) 4, pp. 129-161
Persistent link: https://www.econbiz.de/10011441273
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Term structure equations under benchmark framework
El Qalli, Yassine - 2009
for bond and forward prices. The benchmark or numeraire is chosen to be the growth optimal portfolio (GOP). For … deterministic short rate the solution of the bond term structure equation coincides with the explicit formula obtained in Platen …(2005). The resulting term structure equations are used to explain moves in bond and forward prices by introducing GOP as a …
Persistent link: https://www.econbiz.de/10011523699
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Systematic risk and yield premiums in the bond market
Fu, Liang; Murphy, Austin; Benzschawei, Terry - In: The journal of credit risk : published quarterly by … 11 (2015) 2, pp. 1-40
Persistent link: https://www.econbiz.de/10011298058
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Sovereign bond spreads and credit sensitivity
Schefer, Ricardo - 2020
Expectations of risky bond payments are unobservable and recovery rates for sovereigns are hard to estimate because …
Persistent link: https://www.econbiz.de/10012307696