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Breakdown of covered interest parity : mystery or myth?

Wong, Alfred Y.; Zhang, Jiayue - 2018

that the swap dealer behaves as if he tries to align the risks of the transactions in pricing CCBSs, which causes CIP to …

Persistent link: https://www.econbiz.de/10011791979

A libor market model including credit risk under the real-world measure

Lopes, Sara Dutra; Vázquez, Carlos - In: The journal of computational finance 24 (2020) 3, pp. 111-141

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Pricing catastrophe swaps with default risk and stochastic interest rates

Lo, Chien-Ling; Chang, Carolyn C. W.; Lee, Jin-Ping; … - In: Pacific-Basin finance journal 68 (2021), pp. 1-16

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A joint analysis of the term structure of credit default swap spreads and the implied volatility surface

Fonseca, José da; Gottschalk, Katrin - In: The journal of futures markets 33 (2013) 6, pp. 494-517

Persistent link: https://www.econbiz.de/10009756569

Credit derivatives pricing with stochastic volatility models

Chiarella, Carl; Chege Maina, Samuel; Nikitopoulos, … - In: International journal of theoretical and applied finance 16 (2013) 4, pp. 1-28

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The leverage effect and the basket-index put spread

Bai, Jennie; Goldstein, Robert S.; Yang, Fan - In: Journal of financial economics 131 (2019) 1, pp. 186-205

Persistent link: https://www.econbiz.de/10012130889

A Joint Analysis of the Term Structure of Credit Default Swap Spreads and the Implied Volatility Surface

Da Fonseca, José; Gottschalk, Katrin - 2023

interaction with equity volatility has been analyzed in many studies. However, in most of them the 5-year credit default swap … study the co-movements of the term structure of credit default swap spreads and the implied volatility surface. We perform a …This paper presents a joint analysis of the term structure of credit default swap (CDS) spreads and the implied …

Persistent link: https://www.econbiz.de/10014254192

About long-term cross-currency Bermuda swaption pricing

Erkan, Bünyamin; Prigent, Jean-Luc - In: Computational economics 56 (2020) 1, pp. 239-262

Persistent link: https://www.econbiz.de/10012272028

Swaption pricing in affine and other models

Kim, Don H. - In: Mathematical finance : an international journal of … 24 (2014) 4, pp. 790-820

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Time-changed Lévy LIBOR market model : pricing and joint estimation of the cap surface and swaption cube

Leippold, Markus; Strømberg, Jacob - In: Journal of financial economics 111 (2014) 1, pp. 224-250

Persistent link: https://www.econbiz.de/10010255531