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The relative valuation of caps and swaptions : theory and empirical evidence
Longstaff, Francis A.; Santa-Clara, Pedro; Schwartz, … - In: The journal of finance : the journal of the American … 56 (2001) 6, pp. 2067-2109
Persistent link: https://www.econbiz.de/10001631728
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Throwing away a billion dollars : the cost of suboptimal exercise strategies in the swaptions market
Longstaff, Francis A.; Santa-Clara, Pedro; Schwartz, … - In: Journal of financial economics 62 (2001) 1, pp. 39-66
Persistent link: https://www.econbiz.de/10001608810
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Implementing a stochastic model for oil futures prices
Cortazar, Gonzalo; Schwartz, Eduardo S. - In: Energy economics 25 (2003) 3, pp. 215-238
Persistent link: https://www.econbiz.de/10001764802
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Optimal exploration investments under price and geological-technical uncertainty: a real options model
Cortazar, Gonzalo; Schwartz, Eduardo S.; Casassus, Jaime - In: Real R & D options, (pp. 149-165). 2003
Persistent link: https://www.econbiz.de/10001746033
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A model of R&D valuation and the design of research incentives
Hsu, Jason C.; Schwartz, Eduardo S. - 2003
Persistent link: https://www.econbiz.de/10001815754
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Theory of storage and the pricing of commodity claims
Nielsen, Martin J.; Schwartz, Eduardo S. - In: Review of derivatives research 7 (2004) 1, pp. 5-24
Persistent link: https://www.econbiz.de/10002012125
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Stable modeling of market and credit value at risk
Račev, Svetlozar T.; Schwartz, Eduardo S.; Khindanova, … - In: Handbook of heavy tailed distributions in finance, (pp. 249-328). 2003
Persistent link: https://www.econbiz.de/10001882089
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Stable non-Gaussian models for credit risk management
Martin, Bernhard; Račev, Svetlozar T.; Schwartz, Eduardo S. - In: Handbook of heavy tailed distributions in finance, (pp. 405-441). 2003
Persistent link: https://www.econbiz.de/10001882167
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Multifactor stochastic variance models in risk management : maximum entropy approach and lévy processes
Levin, Alexander; Tchernister, Alexander; Schwartz, … - In: Handbook of heavy tailed distributions in finance, (pp. 443-480). 2003
Persistent link: https://www.econbiz.de/10001882183
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Asset liability management : a review and some new results in the presence of heavy tails
Tokat, Yesim; Račev, Svetlozar T.; Schwartz, Eduardo S. - In: Handbook of heavy tailed distributions in finance, (pp. 509-546). 2003
Persistent link: https://www.econbiz.de/10001882195