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~person:"Burgess, Nicholas"
~person:"Carr, Peter"
~subject:"Kredit"
~subject:"Optionsgeschäft"
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Burgess, Nicholas
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Credit Derivative Theory & Practice – A Credit Primer & Review of the Impact of ISDA Standardization on Credit Default Swap Pricing & Credit Model Calibration
Burgess, Nicholas
-
2018
In this paper we review the pricing and model calibration of Credit Default Swaps referring to both the International Swaps and Derivatives Association (ISDA) CDS contract and credit model standardization guidelines. Furthermore we provide an Excel pricing workbook to supplement the materials...
Persistent link: https://www.econbiz.de/10012925163
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Pricing swaps and options on quadratic variation under stochastic time change models : discrete observations case
Itkin, Andrey
;
Carr, Peter
- In:
Review of derivatives research
13
(
2010
)
2
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pp. 141-176
Persistent link: https://www.econbiz.de/10008695493
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Variance risk premiums
Carr, Peter
;
Wu, Liuren
- In:
The review of financial studies
22
(
2009
)
3
,
pp. 1311-1341
Persistent link: https://www.econbiz.de/10003827753
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