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OTC premia

Cenedese, Gino; Ranaldo, Angelo; Vasios, Michalis - 2018

traded over the counter. We find substantial and persistent heterogeneity in derivative prices consistent with a pass …

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Options on Interest Rates -- 18 Elements of Stochastic Calculus -- 19 *The Mathematical Framework of Financial Markets Theory … -- 20 The State Variables Model and the Valuation Partial Differential Equation -- Part 3 Portfolio Theory and Portfolio … Asset Pricing Model -- 23 Arbitrage Pricing Theory and Multi-Factor Models -- 24 Strategic Portfolio Allocation -- 25 …

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Macroeconomic modelling of a firm's default

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