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~person:"Byström, Hans N. E."
~person:"Xu, Yaofei"
~subject:"Option pricing theory"
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Search: subject:"Kreditderivat"
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Option pricing theory
Credit derivative
18
Kreditderivat
18
Volatility
11
Volatilität
11
Credit risk
7
Kreditrisiko
7
Optionspreistheorie
6
CDS
5
Derivat
5
Derivative
5
Implied volatility
5
Yield curve
5
Zinsstruktur
5
Börsenkurs
4
Option trading
4
Optionsgeschäft
4
Share price
4
Swap
4
Capital income
3
Credit default swap
3
Credit insurance
3
Estimation
3
Kapitaleinkommen
3
Kreditversicherung
3
Risikoprämie
3
Risk premium
3
Schätzung
3
Aktienindex
2
Aktienmarkt
2
Aktienoption
2
CreditGrades
2
Erwartungsbildung
2
Expectation formation
2
Forecasting model
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Options
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Prognoseverfahren
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State space model
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Stock market
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English
6
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Byström, Hans N. E.
Xu, Yaofei
Chiarella, Carl
6
Levendorskii, Sergei
6
Seo, Sang Byung
5
Jönsson, Henrik
4
Schoutens, Wim
4
Aramonte, Sirio
3
Brigo, Damiano
3
Fanelli, Viviana
3
Filipović, Damir
3
Gottschalk, Katrin
3
Jahan-Parvar, Mohammad R.
3
Musti, Silvana
3
Rosen, Samuel
3
Schindler, John W.
3
Shi, Yukun
3
Wachter, Jessica A.
3
Yan, Cheng
3
Ackerer, Damien
2
Barone, Gaia
2
Berger, Verena Anna
2
Bhar, Ramaprasad
2
Boyarchenko, Mitya
2
Chan, Ka Kei
2
Fabozzi, Frank J.
2
Fang, Fang
2
Fonseca, José da
2
Guo, Biao
2
Handzic, Nedim
2
Hao, Ruili
2
Hao, Xuemiao
2
Hellmich, Martin
2
Kolokolova, Olga
2
Levendorskij, Sergej Z.
2
Li, Xuan
2
Lin, Ming-Tsung
2
Lovreta, Lidija
2
Oosterlee, Cornelis W.
2
Poncet, Patrice
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International review of financial analysis
3
Finance research letters
1
Quantitative finance
1
Working paper / Department of Economics, Lund University
1
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ECONIS (ZBW)
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1
Market co-movement between credit default swap curves and option volatility surfaces
Shi, Yukun
;
Stasinakis, Charalampos
;
Xu, Yaofei
;
Yan, Cheng
- In:
International review of financial analysis
82
(
2022
),
pp. 1-13
Persistent link: https://www.econbiz.de/10013426474
Saved in:
2
Stock price default boundary : a Black-Cox model approach
Shi, Yunkun
;
Stasinakis, Charalampos
;
Xu, Yaofei
;
Yan, Cheng
- In:
International review of financial analysis
83
(
2022
),
pp. 1-11
Persistent link: https://www.econbiz.de/10013455157
Saved in:
3
The information content of CDS implied volatility and associated trading strategies
Shi, Yukun
;
Chen, Ding
;
Guo, Biao
;
Xu, Yaofei
;
Yan, Cheng
- In:
International review of financial analysis
83
(
2022
),
pp. 1-16
Persistent link: https://www.econbiz.de/10013460868
Saved in:
4
Volatility information difference between CDS, options, and the cross section of options returns
Guo, Biao
;
Shi, Yukun
;
Xu, Yaofei
- In:
Quantitative finance
20
(
2020
)
12
,
pp. 2025-2036
Persistent link: https://www.econbiz.de/10012313548
Saved in:
5
Credit-implied forward volatility and volatility expectations
Byström, Hans N. E.
-
2015
Persistent link: https://www.econbiz.de/10011389400
Saved in:
6
Credit-implied forward volatility and volatility expectations
Byström, Hans N. E.
- In:
Finance research letters
16
(
2016
),
pp. 132-138
Persistent link: https://www.econbiz.de/10011655141
Saved in:
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