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~isPartOf:"Review of derivatives research"
~isPartOf:"The journal of fixed income"
~subject:"Korrelation"
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Korrelation
Volatilität
Asset-Backed Securities
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Adelson, Mark H.
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Review of derivatives research
The journal of fixed income
Finance and economics discussion series
2
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2
SFB 649 discussion paper
2
The review of financial studies
2
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1
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Frontiers in quantitative finance : volatility and credit risk modeling
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International journal of theoretical and applied finance
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Journal of financial engineering
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The Indian journal of economics
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The journal of alternative investments
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The journal of derivatives : the official publication of the International Association of Financial Engineers
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ECONIS (ZBW)
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1
Do correlated defaults matter for CDS premia?
Koziol, Christian
;
Koziol, Philipp
;
Schön, Thomas
- In:
Review of derivatives research
18
(
2015
)
3
,
pp. 191-224
Persistent link: https://www.econbiz.de/10011477301
Saved in:
2
Delta-hedging correlation risk?
Cousin, Areski
;
Crépey, Stéphane
;
Kan, Yu Hang
- In:
Review of derivatives research
15
(
2012
)
1
,
pp. 25-56
Persistent link: https://www.econbiz.de/10009627434
Saved in:
3
CMBS tranche valuation framework : correlated geometric Brownian motions simulation
Shiu, Peijie
;
Luong, Uyen
;
Rozov, Yadin
- In:
The journal of fixed income
21
(
2011
)
1
,
pp. 55-66
Persistent link: https://www.econbiz.de/10009314955
Saved in:
4
An empirical analysis of factors driving the swap spread
Asgharian, Hossein
;
Karlsson, Sonnie
- In:
The journal of fixed income
18
(
2008/09
)
2
,
pp. 41-56
Persistent link: https://www.econbiz.de/10003777616
Saved in:
5
Volatility skew and the valuation of mortgages
Bhattacharjee, Ranjit
;
Badak, Bransislav
;
Russell, Robert A.
- In:
The journal of fixed income
16
(
2006
)
3
,
pp. 39-53
Persistent link: https://www.econbiz.de/10003422025
Saved in:
6
Does mortgage hedging amplify movements in long-term interest rates?
Perli, Roberto
;
Sack, Brian
- In:
The journal of fixed income
13
(
2003
)
3
,
pp. 7-17
Persistent link: https://www.econbiz.de/10001968317
Saved in:
7
CDO and ABS underperformance : a correlation story
Adelson, Mark H.
- In:
The journal of fixed income
13
(
2003
)
3
,
pp. 53-63
Persistent link: https://www.econbiz.de/10001968398
Saved in:
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