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Risk premia and optimal liquidation of credit derivatives

Leung, Tim; Liu, Peng - In: International journal of theoretical and applied finance 15 (2012) 8, pp. 1-34

Persistent link: https://www.econbiz.de/10009707094

Growth options, macroeconomic conditions, and the cross section of credit risk

Arnold, Marc; Wagner, Alexander F.; Westermann, Ramona - In: Journal of financial economics 107 (2013) 2, pp. 350-385

Persistent link: https://www.econbiz.de/10009719728

Affine model of inflation-indexed derivatives and inflation risk premium

Ho, Hsiao-wei; Huang, Henry H.; Yildirim, Yildiray - In: European journal of operational research : EJOR 235 (2014) 1, pp. 159-169

Persistent link: https://www.econbiz.de/10010361364

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

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

Dealers, futures markets and the cost of capital

Stein, Jerome L. - 1985 - Rev

Persistent link: https://www.econbiz.de/10002834247

Efficient derivative pricing by extended method of moments

Gagliardini, Patrick; Gouriéroux, Christian; Renault, Eric - 2005

Persistent link: https://www.econbiz.de/10002771895

Default risk in bond and credit derivatives markets

Benkert, Christoph - 2004

Due to the scarcity of reliable data, the existing literature on default risk still displays an imbalance between theoretical and empirical contributions. Consequently, the focus of this book is on empirical work. Within an intensity based modelling framework a broad range of promising...

Persistent link: https://www.econbiz.de/10002146228

The impact of a new futures contract on risk premia in the term structure : an APT analysis for French government bonds

Citanna, Alessandro - In: Financial markets' liberalisation and the role of banks, (pp. 218-247). 1993

Persistent link: https://www.econbiz.de/10001282492

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