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Empirical Pricing Kernels and Investor Preferences
Detlefsen, Kai, (2007)
CDO Pricing with Copulae
ChoroĊ, Barbara, (2009)
Modeling Default Dependence with Threshold Models
Overbeck, Ludger, (2003)
Is volatility risk priced? Properties of tests based on option hedging errors
Branger, Nicole, (2004)
Derivatives Trading in a General Equilibrium Modelwith Stochastic Volatility and Jumps
Branger, Nicole, (2007)
Pricing Two Trees:When Trees and Investors are Heterogeneous