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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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An introduction to derivatives and risk management
Chance, Don M.; Brooks, Robert - 2007 - 7. ed., internat. student ed.
Persistent link: https://www.econbiz.de/10003399203
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Mirror transactions under capital regulation and deposit insurance
Lin, Jyh-horng; Hsu, Yin-chieh - In: The Indian journal of economics 83 (2003) 4, pp. 489-502
Persistent link: https://www.econbiz.de/10001785911
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An introduction to derivatives and risk management
Chance, Don M. - 2004 - 6. ed., internat. student ed.
Persistent link: https://www.econbiz.de/10001786590
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Financial engineering : derivatives and risk management
Cuthbertson, Keith; Nitzsche, Dirk - 2001
Persistent link: https://www.econbiz.de/10001532072
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Derivatives, systemic risk to the international financial system, and the new international capital requirements proposals
Darby, Michael R. - In: International financial markets in North-East Asia : …, (pp. 15-35). 1994
Persistent link: https://www.econbiz.de/10001288769
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Convexity Meets Replication : Hedging of Swap Derivatives and Annuity Options
Zheng, Wendong - 2010
other than its own natural martingale measure. As a typical example, the natural martingale measure of the swap rate is the … swap measure with annuity as the numeraire. However, the evaluation of the discounted expectation of the payoff in a … constant maturity swap (CMS) derivative is performed under the forward measure corresponding to the payment date. In this paper …
Persistent link: https://www.econbiz.de/10013152479
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An Introduction to Derivatives and Asset Pricing : A Conceptual Framework
Ohoukoh, Kokou - 2021
for asset pricing. Derivative products and markets are defined and insight into asset pricing is provided. This is based …
Persistent link: https://www.econbiz.de/10013250381
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Model risk in the over-the-counter market
Lazar, Emese; Qi, Shuyuan - In: European journal of operational research : EJOR 298 (2022) 2, pp. 769-784
Persistent link: https://www.econbiz.de/10013206897