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isPartOf:"International journal of theoretical and applied finance"
~isPartOf:"Applied economics"
~subject:"Option pricing theory"
~subject:"Zinsstruktur"
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Search: subject_exact:"Credit spread option"
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Option pricing theory
Zinsstruktur
Credit derivative
49
Kreditderivat
49
Credit risk
41
Kreditrisiko
41
Theorie
22
Theory
22
Derivat
18
Derivative
18
Swap
18
Stochastic process
10
Stochastischer Prozess
10
Welt
10
World
10
Financial services
9
Finanzdienstleistung
9
Optionspreistheorie
9
Country risk
8
Insolvency
8
Insolvenz
8
Länderrisiko
8
Volatility
8
Volatilität
8
Credit insurance
7
Financial crisis
7
Finanzkrise
7
Kreditversicherung
7
Multivariate Verteilung
7
Multivariate distribution
7
Yield curve
7
Credit default swaps
6
International sovereign debt
6
Internationale Staatsschulden
6
Public bond
6
Public debt
6
Risikoprämie
6
Risk premium
6
Öffentliche Anleihe
6
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English
13
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Brigo, Damiano
2
Armstrong, Anthony
1
Arvanitis, Stavros E.
1
Banerjee, Tamal
1
Capriotti, Luca
1
Chege Maina, Samuel
1
Chiarella, Carl
1
Cousot, Laurent
1
Garcia, João
1
Ghosh, Mrinal K.
1
Heider, Pascal
1
Hellmich, Martin
1
Huang, Wen-Li
1
Itkin, A.
1
Iyer, Srikanth K.
1
Kassberger, Stefan
1
Lee, Jacky
1
Levendorskij, Sergej Z.
1
Liu, Wen-Qiong
1
Ng, Leslie
1
Nikitopoulos, Christina Sklibosios
1
O'Donoghue, Brendan
1
Peacock, Matthew
1
Pede, Nicola
1
Rutkowski, Marek
1
Schmidt, Wolfgang M.
1
Shcherbakov, V.
1
Stamatopoulos, Theodoros V.
1
Terzakis, Dimitris
1
Veygman, A.
1
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International journal of theoretical and applied finance
Applied economics
Journal of banking & finance
13
International review of financial analysis
11
The journal of fixed income
8
Journal of international money and finance
7
Finance research letters
6
International review of economics & finance : IREF
6
Journal of empirical finance
6
Journal of international financial markets, institutions & money
6
Research paper series / Swiss Finance Institute
6
Economic modelling
5
International journal of financial engineering
5
Journal of financial and quantitative analysis : JFQA
5
Journal of mathematical finance
5
The European journal of finance
5
Insurance / Mathematics & economics
4
Research in international business and finance
4
Swiss Finance Institute Research Paper
4
The North American journal of economics and finance : a journal of financial economics studies
4
The journal of futures markets
4
Working paper / Department of Economics, Lund University
4
Applied mathematical finance
3
Economics letters
3
Emerging markets finance & trade : a journal of the Society for the Study of Emerging Markets
3
Essays on the determinants of corporate bond yield spreads
3
Finance and economics discussion series
3
HKIMR working paper
3
Journal of economic dynamics & control
3
Journal of financial stability
3
Journal of risk
3
Management science : journal of the Institute for Operations Research and the Management Sciences
3
Mathematical finance : an international journal of mathematics, statistics and financial theory
3
NBER Working Paper
3
Quantitative finance
3
Research paper / Quantitative Finance Research Centre, University of Technology Sydney
3
The review of financial studies
3
Williams College Economics Department working paper series
3
Working paper / National Bureau of Economic Research, Inc.
3
Applied economics letters
2
Asia-Pacific financial markets
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ECONIS (ZBW)
13
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1
Hedging of synthetic CDO tranches with spread and default risk based on a combined forecasting approach
Liu, Wen-Qiong
;
Huang, Wen-Li
- In:
International journal of theoretical and applied finance
22
(
2019
)
2
,
pp. 1-17
Persistent link: https://www.econbiz.de/10012012947
Saved in:
2
New model for pricing quanto credit default swaps
Itkin, A.
;
Shcherbakov, V.
;
Veygman, A.
- In:
International journal of theoretical and applied finance
22
(
2019
)
3
,
pp. 1-37
Persistent link: https://www.econbiz.de/10012019847
Saved in:
3
The risk of the sovereign debt default : the Eurozone crisis 2008-2013
Stamatopoulos, Theodoros V.
;
Arvanitis, Stavros E.
; …
- In:
Applied economics
49
(
2017
)
38
,
pp. 3782-3796
Persistent link: https://www.econbiz.de/10011819935
Saved in:
4
Ultra-fast pricing barrier options and CDSs
Levendorskij, Sergej Z.
- In:
International journal of theoretical and applied finance
20
(
2017
)
5
,
pp. 1-27
Persistent link: https://www.econbiz.de/10011734044
Saved in:
5
CoCo bonds pricing with credit and equity calibrated first-passage firm value models
Brigo, Damiano
;
Garcia, João
;
Pede, Nicola
- In:
International journal of theoretical and applied finance
18
(
2015
)
3
,
pp. 1-31
Persistent link: https://www.econbiz.de/10011403242
Saved in:
6
A spread-return mean-reverting model for credit spread dynamics
O'Donoghue, Brendan
;
Peacock, Matthew
;
Lee, Jacky
; …
- In:
International journal of theoretical and applied finance
17
(
2014
)
3
,
pp. 1-14
Persistent link: https://www.econbiz.de/10010364761
Saved in:
7
Credit modeling under jump diffusions with exponentially distributed jumps : stable calibration, dynamics and GAP risk
Hellmich, Martin
;
Kassberger, Stefan
;
Schmidt, Wolfgang M.
- In:
International journal of theoretical and applied finance
16
(
2013
)
4
,
pp. 1-26
Persistent link: https://www.econbiz.de/10009779752
Saved in:
8
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
Persistent link: https://www.econbiz.de/10009779780
Saved in:
9
Pricing credit derivatives in a Markov-modulated reduced-form model
Banerjee, Tamal
;
Ghosh, Mrinal K.
;
Iyer, Srikanth K.
- In:
International journal of theoretical and applied finance
16
(
2013
)
4
,
pp. 1-43
Persistent link: https://www.econbiz.de/10009779788
Saved in:
10
Numerical procedures for a wrong way risk model with lognormal Hazard rates and Gaussian interest rates
Ng, Leslie
- In:
International journal of theoretical and applied finance
16
(
2013
)
8
,
pp. 1-33
Persistent link: https://www.econbiz.de/10010243617
Saved in:
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