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The Performance of Multi-Factor Term Structure Models for Pricing and Hedging Caps and Swaptions
Driessen, Joost; Klaassen, Pieter; Melenberg, Bertrand - In: Journal of financial and quantitative analysis : JFQA 38 (2003) 3, pp. 635-672
Persistent link: https://www.econbiz.de/10006694267
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Testing affine term structure models in case of transaction costs
Driessen, Joost; Melenberg, Bertrand; Nijman, Theo - In: Journal of econometrics 126 (2005) 1, pp. 201
Persistent link: https://www.econbiz.de/10006749124
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The Price of Correlation Risk: Evidence from Equity Options
Driessen, Joost; Maenhout, Pascalj; Vilkov, Grigory - In: The journal of finance : the journal of the American … 64 (2009) 3, pp. 1377-1406
Persistent link: https://www.econbiz.de/10008254261
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Derivative Pricing with Liquidity Risk: Theory and Evidence from the Credit Default Swap Market
BONGAERTS, DION; DE JONG, FRANK; DRIESSEN, JOOST - In: The journal of finance : the journal of the American … 66 (2011) 1, pp. 203-241
Persistent link: https://www.econbiz.de/10008781315
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Does Skin in the Game Matter? Director Incentives and Governance in the Mutual Fund Industry
Cremers, Martijn; Driessen, Joost; Maenhout, Pascal; … - In: Journal of financial and quantitative analysis : JFQA 44 (2009) 6, pp. 1345-1375
Persistent link: https://www.econbiz.de/10008390419
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International portfolio diversification benefits: Cross-country evidence from a local perspective
Driessen, Joost; Laeven, Luc - In: Journal of banking & finance 31 (2007) 6, pp. 1693-1712
Persistent link: https://www.econbiz.de/10007727814
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Pricing of commercial real estate securities during the 2007–2009 financial crisis
Driessen, Joost; Van Hemert, Otto - In: Journal of financial economics 105 (2012) 1, pp. 37-62
Persistent link: https://www.econbiz.de/10009979022
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Explaining the Level of Credit Spreads: Option-Implied Jump Risk Premia in a Firm Value Model
Cremers, K.J. Martijn; Driessen, Joost; Maenhout, Pascal - In: The review of financial studies 21 (2013) 5, pp. 2209-2208
Persistent link: https://www.econbiz.de/10010114125
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Is Default Event Risk Priced in Corporate Bonds?
Driessen, Joost - In: The review of financial studies 18 (2013) 1, pp. 165-164
Persistent link: https://www.econbiz.de/10010114464
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Is Default Event Risk Priced in Corporate Bonds?
Driessen, Joost - In: The review of financial studies 18 (2005) 1, pp. 165-196
Persistent link: https://www.econbiz.de/10007020886