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subject:"Credit risk"
~isPartOf:"Review of derivatives research"
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Credit risk
Option pricing theory
170
Optionspreistheorie
170
Option trading
58
Optionsgeschäft
58
Theorie
52
Theory
52
Volatility
49
Volatilität
49
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44
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40
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18
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17
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Option pricing
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Kreditrisiko
15
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11
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Wang, Xingchun
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Rudolph, David
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Review of derivatives research
International journal of theoretical and applied finance
29
Journal of banking & finance
13
Applied mathematical finance
12
The North American journal of economics and finance : a journal of financial economics studies
10
The journal of computational finance
10
The journal of futures markets
10
International review of financial analysis
9
Asia-Pacific financial markets
8
International journal of financial engineering
8
Insurance / Mathematics & economics
7
Mathematical finance : an international journal of mathematics, statistics and financial theory
7
Quantitative finance
7
Applied economics letters
6
European journal of operational research : EJOR
6
Finance research letters
6
Journal of economic dynamics & control
6
Journal of mathematical finance
6
The European journal of finance
6
Finance and stochastics
5
The journal of derivatives : the official publication of the International Association of Financial Engineers
5
Management science : journal of the Institute for Operations Research and the Management Sciences
4
Review of quantitative finance and accounting
4
The journal of credit risk : published quarterly by Incisive Media
4
The journal of fixed income
4
Annals of financial economics
3
Computational economics
3
IMES discussion paper series / Englische Ausgabe
3
International review of economics & finance : IREF
3
Journal of empirical finance
3
Journal of financial services research : JFSR
3
Mathematical finance : an international journal of mathematics, statistics and financial economics
3
Research paper series / Swiss Finance Institute
3
Risks : open access journal
3
Springer Texts in Business and Economics
3
The journal of real estate finance and economics
3
Annals of finance
2
Beiträge zur betriebswirtschaftlichen Forschung
2
Bonn Econ Discussion Papers / BGSE
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Bonn Econ Discussion Papers / Bonn Graduate School of Economics, Department of Economics, University of Bonn
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ECONIS (ZBW)
15
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1
Pricing vulnerable basket spread options with liquidity risk
Dong, Ziming
;
Tang, Dan
;
Wang, Xingchun
- In:
Review of derivatives research
26
(
2023
)
1
,
pp. 23-50
Persistent link: https://www.econbiz.de/10014266355
Saved in:
2
Valuing fade-in options with default risk in Heston-Nandi GARCH models
Wang, Xingchun
- In:
Review of derivatives research
25
(
2022
)
1
,
pp. 1-22
Persistent link: https://www.econbiz.de/10013191374
Saved in:
3
Pricing commodity-linked bonds with stochastic convenience yield, interest rate and counterparty credit risk : application of Mellin transform methods
Ma, Zonggang
;
Ma, Chaoqun
;
Wu, Zhijian
- In:
Review of derivatives research
25
(
2022
)
1
,
pp. 47-91
Persistent link: https://www.econbiz.de/10013191382
Saved in:
4
Pricing vulnerable options with jump risk and liquidity risk
Wang, Xingchun
- In:
Review of derivatives research
24
(
2021
)
3
,
pp. 243-260
Persistent link: https://www.econbiz.de/10012659671
Saved in:
5
Pricing vulnerable options in a hybrid credit risk model driven by Heston-Nandi GARCH processes
Liang, Gechun
;
Wang, Xingchun
- In:
Review of derivatives research
24
(
2021
)
1
,
pp. 1-30
Persistent link: https://www.econbiz.de/10012498465
Saved in:
6
Tempered stable structural model in pricing credit spread and credit default swap
Kim, Sung Ik
;
Kim, Young Shin
- In:
Review of derivatives research
21
(
2018
)
1
,
pp. 119-148
Persistent link: https://www.econbiz.de/10012055733
Saved in:
7
Credit valuation adjustment of cap and floor with counterparty risk : a structural pricing model for vulnerable European options
Kao, Lie-Jane
- In:
Review of derivatives research
19
(
2016
)
1
,
pp. 41-64
Persistent link: https://www.econbiz.de/10011742280
Saved in:
8
Pricing anomaly at the first sight : same borrower in different currencies faces different credit spreads : an explanation by means of a quanto option
Rathgeber, Andreas W.
;
Rudolph, David
;
Stöckl, Stefan
- In:
Review of derivatives research
18
(
2015
)
2
,
pp. 107-143
Persistent link: https://www.econbiz.de/10011477291
Saved in:
9
Single name credit default swaptions meet single sided jump models
Jönsson, Henrik
;
Schoutens, Wim
- In:
Review of derivatives research
11
(
2008
)
1/2
,
pp. 153-169
Persistent link: https://www.econbiz.de/10003829573
Saved in:
10
The valuation of a firm's investment opportunities : a reduced form credit risk perspective
Jarrow, Robert A.
;
Purnanandam, Amiyatosh
- In:
Review of derivatives research
10
(
2007
)
1
,
pp. 39-58
Persistent link: https://www.econbiz.de/10003705843
Saved in:
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