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The journal of business : B
International journal of theoretical and applied finance
The journal of futures markets
128
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33
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ECONIS (ZBW)
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1
From bid-ask credit default swap quotes to risk-neutral default probabilities using distorted expectations
Michielon, Matteo
;
Khedher, Asma
;
Spreij, Peter
- In:
International journal of theoretical and applied finance
24
(
2021
)
3
,
pp. 1-22
Persistent link: https://www.econbiz.de/10012652634
Saved in:
2
Factor copula model for portfolio credit risk
Kim, Sung Ik
;
Kim, Young Shin
- In:
International journal of theoretical and applied finance
24
(
2021
)
4
,
pp. 1-25
Persistent link: https://www.econbiz.de/10012652691
Saved in:
3
Credit default swaps in two-dimensional models with various informations flows
Gapeev, Pavel V.
;
Jeanblanc, Monique
- In:
International journal of theoretical and applied finance
23
(
2020
)
2
,
pp. 1-28
Persistent link: https://www.econbiz.de/10012270908
Saved in:
4
Linear stochastic dividend model
Willems, Sander
- In:
International journal of theoretical and applied finance
23
(
2020
)
7
,
pp. 1-20
Persistent link: https://www.econbiz.de/10012496908
Saved in:
5
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:
6
Pricing-hedging duality for credit default swaps and the negative basis arbitrage
Mai, Jan-Frederik
- In:
International journal of theoretical and applied finance
22
(
2019
)
6
,
pp. 1-17
Persistent link: https://www.econbiz.de/10012153067
Saved in:
7
A dynamic model of central counterparty risk
Bielecki, Tomasz R.
;
Cialenco, Igor
;
Feng, Shibi
- In:
International journal of theoretical and applied finance
21
(
2018
)
8
,
pp. 1-34
Persistent link: https://www.econbiz.de/10011970904
Saved in:
8
Note on the Smith-Wilson interest rate curve
Gach, Florian
- In:
International journal of theoretical and applied finance
19
(
2016
)
7
,
pp. 1-16
Persistent link: https://www.econbiz.de/10011568780
Saved in:
9
Consistent parallel and proportional shifts in the term structure of futures prices
Hinnerich, Mia
- In:
International journal of theoretical and applied finance
18
(
2015
)
1
,
pp. 1-25
Persistent link: https://www.econbiz.de/10011403181
Saved in:
10
A note on the self-financing condition for funding, collateral and discounting
Brigo, Damiano
;
Buescu, Cristin
;
Pallavicini, Andrea
; …
- In:
International journal of theoretical and applied finance
18
(
2015
)
2
,
pp. 1-10
Persistent link: https://www.econbiz.de/10011403214
Saved in:
11
Liquidity risk, instead of funding costs, leads to a valuation adjustment for derivatives and other assets
Nauta, Bert-Jan
- In:
International journal of theoretical and applied finance
18
(
2015
)
2
,
pp. 1-30
Persistent link: https://www.econbiz.de/10011403233
Saved in:
12
CVA with wrong way risk : sensitivities, volatility and hedging
El Hajjaji, Omar
;
Subbotin, Alexander
- In:
International journal of theoretical and applied finance
18
(
2015
)
3
,
pp. 1-31
Persistent link: https://www.econbiz.de/10011403747
Saved in:
13
The 3/2 model as a stochastic volatility approximation for a large-basket price-weighted index
Hambly, Ben
;
Vaicenavicius, Juozas
- In:
International journal of theoretical and applied finance
18
(
2015
)
6
,
pp. 1-25
Persistent link: https://www.econbiz.de/10011403929
Saved in:
14
Credit risk valuation with rating transitions and partial information
Hainaut, Donatien
;
Robert, Christian Yann
- In:
International journal of theoretical and applied finance
17
(
2014
)
7
,
pp. 1-44
Persistent link: https://www.econbiz.de/10010498847
Saved in:
15
Bilateral counterparty risk valuation of CDS contracts with simultaneous defaults
Teng, Long
;
Ehrhardt, Matthias
;
Günther, Michael
- In:
International journal of theoretical and applied finance
16
(
2013
)
7
,
pp. 1-20
Persistent link: https://www.econbiz.de/10010233305
Saved in:
16
Restructuring counterparty credit risk
Albanese, Claudio
;
Brigo, Damiano
;
Oertel, Frank
- In:
International journal of theoretical and applied finance
16
(
2013
)
2
,
pp. 1-29
Persistent link: https://www.econbiz.de/10009748714
Saved in:
17
Collateralized CVA valuation with rating triggers and credit migrations
Bielecki, Tomasz R.
;
Cialenco, Igor
;
Iyigunler, Ismail
- In:
International journal of theoretical and applied finance
16
(
2013
)
2
,
pp. 1-32
Persistent link: https://www.econbiz.de/10009748715
Saved in:
18
Informationally dynamized Gaussian copula
Crépey, S.
;
Jeanblanc, Monique
;
Wu, Dong Li
- In:
International journal of theoretical and applied finance
16
(
2013
)
2
,
pp. 1-29
Persistent link: https://www.econbiz.de/10009748717
Saved in:
19
Pricingcounterparty risk including collateralization, netting rules, re-hypothecation and wrong-way risk
Brigo, Damiano
;
Capponi, Agostino
;
Pallavicini, Andrea
; …
- In:
International journal of theoretical and applied finance
16
(
2013
)
2
,
pp. 1-16
Persistent link: https://www.econbiz.de/10009748723
Saved in:
20
Counterparty risk and funding : the four wings of the TVA
Crépey, Stéphane
;
Gerboud, Rémi
;
Grbac, Zorana
; …
- In:
International journal of theoretical and applied finance
16
(
2013
)
2
,
pp. 1-31
Persistent link: https://www.econbiz.de/10009748728
Saved in:
21
Modelling the bid and ask prices of illiquid CDSs
Walker, Michael B.
- In:
International journal of theoretical and applied finance
15
(
2012
)
6
,
pp. 1-37
Persistent link: https://www.econbiz.de/10009672590
Saved in:
22
Counterparty risk pricing : impact of closeout and first-to-default times
Brigo, Damiano
;
Buescu, Cristin
;
Morini, Massimo
- In:
International journal of theoretical and applied finance
15
(
2012
)
6
,
pp. 1-23
Persistent link: https://www.econbiz.de/10009672601
Saved in:
23
Valuation and hedging of CDS counterparty exposure in a Markov copula model
Bielecki, Tomasz R.
;
Crépey, S.
;
Jeanblanc, Monique
; …
- In:
International journal of theoretical and applied finance
15
(
2012
)
1
,
pp. 1-39
Persistent link: https://www.econbiz.de/10009562148
Saved in:
24
Relating top-down with bottom-up approaches in the evaluation of ABS with large collateral pools
Diener, Nicolas
;
Jarrow, Robert A.
;
Protter, Philip E.
- In:
International journal of theoretical and applied finance
15
(
2012
)
2
,
pp. 1-20
Persistent link: https://www.econbiz.de/10009624528
Saved in:
25
Risk premia and optimal liquidation of credit derivatives
Leung, Tim
;
Liu, Peng
- In:
International journal of theoretical and applied finance
15
(
2012
)
8
,
pp. 1-34
Persistent link: https://www.econbiz.de/10009707094
Saved in:
26
Counterparty risk for Credit Default Swap with states related default intensity processes
Tang, Dan
;
Wang, Yongjin
;
Zhou, Yuzhen
- In:
International journal of theoretical and applied finance
14
(
2011
)
8
,
pp. 1335-1353
Persistent link: https://www.econbiz.de/10009541993
Saved in:
27
Exact pricing with stochastic volatility and jumps
D'Ippoliti, Fernanda
;
Moretto, Enrico
;
Pasquali, Sara
; …
- In:
International journal of theoretical and applied finance
13
(
2010
)
6
,
pp. 901-929
Persistent link: https://www.econbiz.de/10008905110
Saved in:
28
When are swing options bang-bang?
Bardou, Olivier
;
Bouthemy, Sandrine
;
Pagès, Gilles
- In:
International journal of theoretical and applied finance
13
(
2010
)
6
,
pp. 867-899
Persistent link: https://www.econbiz.de/10008905111
Saved in:
29
A finite-dimensional HJM model : how important is arbitrage-free evolution?
Devin, Siobhán
;
Hanzon, Bernard
;
Ribarits, Thomas
- In:
International journal of theoretical and applied finance
13
(
2010
)
8
,
pp. 1241-1263
Persistent link: https://www.econbiz.de/10008906164
Saved in:
30
Pricing and filtering in a two-dimensional dividend switching model
Gapeev, Pavel V.
;
Jeanblanc, Monique
- In:
International journal of theoretical and applied finance
13
(
2010
)
7
,
pp. 1001-1017
Persistent link: https://www.econbiz.de/10008906248
Saved in:
31
A regularized fourier transform approach for valuing options under stochastic dividend yields
Dia, Baye M.
- In:
International journal of theoretical and applied finance
13
(
2010
)
2
,
pp. 211-240
Persistent link: https://www.econbiz.de/10008860410
Saved in:
32
Fast valuation of forward-starting basket default swaps
Jackson, Ken
;
Kreinin, Alex
;
Zhang, Wanhe
- In:
International journal of theoretical and applied finance
13
(
2010
)
2
,
pp. 195-209
Persistent link: https://www.econbiz.de/10008860414
Saved in:
33
Approximating Lévy processes with a view to option pricing
Crosby, John
;
Le Saux, Nolwenn
;
Mijatovi´c, Aleksandar
- In:
International journal of theoretical and applied finance
13
(
2010
)
1
,
pp. 63-91
Persistent link: https://www.econbiz.de/10008860423
Saved in:
34
Pricing of exotic energy derivatives based on arithmetic spot models
Benth, Fred Espen
;
Kufakunesu, Rodwell
- In:
International journal of theoretical and applied finance
12
(
2009
)
4
,
pp. 491-506
Persistent link: https://www.econbiz.de/10003879078
Saved in:
35
A new framework for dynamic credit portfolio loss modelling
Sidenius, Jakob
;
Piterbarg, Vladimir
;
Andersen, Leif B. G.
- In:
International journal of theoretical and applied finance
11
(
2008
)
2
,
pp. 163-197
Persistent link: https://www.econbiz.de/10003703072
Saved in:
36
Special issue on credit correlation : life after copulas
Lipton, Alexander
(
contributor
)
-
2007
Persistent link: https://www.econbiz.de/10003503331
Saved in:
37
Pricing and hedging in a dynamic credit model
Elouerkhaoui, Youssef
- In:
International journal of theoretical and applied finance
10
(
2007
)
4
,
pp. 703-731
Persistent link: https://www.econbiz.de/10003503384
Saved in:
38
Joint distributions of portfolio losses and exotic portfolio products
Epple, Friedel
;
Morgan, Sam
;
Schoegl, Lutz
- In:
International journal of theoretical and applied finance
10
(
2007
)
4
,
pp. 733-748
Persistent link: https://www.econbiz.de/10003503387
Saved in:
39
On the term structure of loss distributions : a forward model approach
Sidenius, Jakob
- In:
International journal of theoretical and applied finance
10
(
2007
)
4
,
pp. 749-761
Persistent link: https://www.econbiz.de/10003503392
Saved in:
40
Defaultable Lévy Libor rates and credit derivatives
Huehne, Florian
- In:
International journal of theoretical and applied finance
10
(
2007
)
3
,
pp. 407-435
Persistent link: https://www.econbiz.de/10003463421
Saved in:
41
PDE approach to the valuation and hedging of basket credit derivatives
Rutkowski, Marek
;
Yousiph, Khan
- In:
International journal of theoretical and applied finance
10
(
2007
)
8
,
pp. 1261-1285
Persistent link: https://www.econbiz.de/10003632076
Saved in:
42
Multivariate integral perturbation techniques : I: theory
Dash, Jan W.
- In:
International journal of theoretical and applied finance
10
(
2007
)
8
,
pp. 1287-1304
Persistent link: https://www.econbiz.de/10003632079
Saved in:
43
Explicit solutions for a nonlinear model of financial derivatives
Bordag, L. A.
;
Chmakova, Alina Y.
- In:
International journal of theoretical and applied finance
10
(
2007
)
1
,
pp. 1-21
Persistent link: https://www.econbiz.de/10003415479
Saved in:
44
Variance term structure and VIX futures pricing
Zhu, Yingzi
;
Zhang, Jin E.
- In:
International journal of theoretical and applied finance
10
(
2007
)
1
,
pp. 111-127
Persistent link: https://www.econbiz.de/10003415735
Saved in:
45
Stock market quality in the presence of a traded option
Jong, Cyriel de
;
Koedijk, Kees
;
Schnitzlein, Charles R.
- In:
The journal of business : B
79
(
2006
)
4
,
pp. 2243-2274
Persistent link: https://www.econbiz.de/10003378599
Saved in:
46
Projecting the forward rate flow onto a finite dimensional manifold
Bayraktar, Erhan
;
Chen, Li
;
Poor, H. Vincent
- In:
International journal of theoretical and applied finance
9
(
2006
)
5
,
pp. 777-785
Persistent link: https://www.econbiz.de/10003379033
Saved in:
47
The hedge ratio and the empirical relationship between the stock and futures markets : a new approach using wavelet analysis
In, Francis Haeuck
;
Kim, Sangbae
- In:
The journal of business : B
79
(
2006
)
2
,
pp. 799-820
Persistent link: https://www.econbiz.de/10003310384
Saved in:
48
Optimal hedging of derivatives with transaction costs
Aurell, Erik
;
Muratore-Ginanneschi, Paolo
- In:
International journal of theoretical and applied finance
9
(
2006
)
7
,
pp. 1051-1069
Persistent link: https://www.econbiz.de/10003424366
Saved in:
49
The exponent expansion : an effective approximation of transition probabilities of diffusion processes and pricing Kernels of financial derivatives
Capriotti, Luca
- In:
International journal of theoretical and applied finance
9
(
2006
)
7
,
pp. 1179-1200
Persistent link: https://www.econbiz.de/10003395996
Saved in:
50
Currency derivatives under a minimal market model with random scaling
Heath, David C.
;
Platen, Eckhard
- In:
International journal of theoretical and applied finance
8
(
2005
)
8
,
pp. 1157-1177
Persistent link: https://www.econbiz.de/10003280050
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