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Equity Options, Credit Default Swaps and Leverage : A Simple Stochastic-Volatility Model for Equity and Credit Derivatives
Barone, Gaia - 2012
terms of a single perpetual-bond equivalent issue, we define leverage, show the stochastic nature of equity volatility and … the leverage parameter L and make use of the univariate normal distribution function, are consistent with the volatility …
Persistent link: https://www.econbiz.de/10013114821
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Exponential Lévy models extended by a jump to default
Yamazaki, Akira - In: Applied mathematical finance 20 (2013) 3/4, pp. 211-228
Persistent link: https://www.econbiz.de/10010187668
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Market co-movement between credit default swap curves and option volatility surfaces
Shi, Yukun; Stasinakis, Charalampos; Xu, Yaofei; Yan, Cheng - In: International review of financial analysis 82 (2022), pp. 1-13
Persistent link: https://www.econbiz.de/10013426474
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Stock price default boundary : a Black-Cox model approach
Shi, Yunkun; Stasinakis, Charalampos; Xu, Yaofei; Yan, Cheng - In: International review of financial analysis 83 (2022), pp. 1-11
Persistent link: https://www.econbiz.de/10013455157
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Credit spreads, optimal capital structure, and implied volatility with endogenous default and jump risk
Chen, Nan; Kou, Steven - In: Mathematical finance : an international journal of … 19 (2009) 3, pp. 343-378
Persistent link: https://www.econbiz.de/10003882482
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Two problems in financial engineering
Chen, Nan - 2006
Persistent link: https://www.econbiz.de/10003965291
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Rating based Lévy Libor model
Eberlein, Ernst; Grbac, Zorana - In: Mathematical finance : an international journal of … 23 (2013) 4, pp. 591-626
Persistent link: https://www.econbiz.de/10010187684
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Bank lending and interest-rate derivatives
Zhao, Fang; Moser, James T. - In: International journal of financial research 8 (2017) 4, pp. 23-37
Persistent link: https://www.econbiz.de/10011781357
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The options market reaction to bank loan announcements
Anagnostopoulou, Seraina C.; Ferentinou, Aikaterini C.; … - In: Journal of financial services research : JFSR 53 (2018) 1, pp. 99-139
Persistent link: https://www.econbiz.de/10012023932
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Interest rate factor models : term structure dynamics and derivatives pricing
Schlögl, Erik - 1997
Persistent link: https://www.econbiz.de/10000649190