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Asymmetric dynamics between informed trading activity and credit default swaps
Hu, Wen-Cheng; Huang, Alex - In: The journal of derivatives : the official publication … 26 (2018) 2, pp. 70-85
Persistent link: https://www.econbiz.de/10011968700
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Interest rate swap credit valuation adjustment
Černý, Jakub; Witzany, Jiří - In: The journal of derivatives : the official publication … 23 (2015) 1, pp. 24-35
Persistent link: https://www.econbiz.de/10011404521
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Digital premium
Berd, Arthur M.; Kapoor, Vivek - In: The journal of derivatives : the official publication … 10 (2002) 3, pp. 66-76
Persistent link: https://www.econbiz.de/10001770081
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The impact of margin interest on the valuation of credit default swaps
Kan, Yu Hang; Pedersen, Claus - In: The journal of derivatives : the official publication … 20 (2012) 1, pp. 60-79
Persistent link: https://www.econbiz.de/10009671707
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Recent advances in default swap valuation
Cheng, Wai-yan - In: The journal of derivatives : the official publication … 9 (2001) 1, pp. 18-27
Persistent link: https://www.econbiz.de/10001618895
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Asset swaps with Asian-style payoffs
Chance, Don M. - In: The journal of derivatives : the official publication … 3 (1996) 4, pp. 64-77
Persistent link: https://www.econbiz.de/10001202803
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Hedging business cycle risk with macroeconomic swaps : some preliminary evidence
Bansal, Vipul K. - In: The journal of derivatives : the official publication … 1 (1994) 3, pp. 50-58
Persistent link: https://www.econbiz.de/10001219482
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New approach to estimating VIX truncation errors using corridor variance swaps
Wu, Desheng Dash; Liu, Tianxiang - In: The journal of derivatives : the official publication … 25 (2018) 4, pp. 54-70
Persistent link: https://www.econbiz.de/10011968667
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The valuation of credit default swap options
Hull, John; White, Alan - In: The journal of derivatives : the official publication … 10 (2002) 3, pp. 40-50
Persistent link: https://www.econbiz.de/10001770070
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Pricing swaptions within an affine framework
Collin-Dufresne, Pierre; Goldstein, Robert S. - In: The journal of derivatives : the official publication … 10 (2002) 1, pp. 9-26
Persistent link: https://www.econbiz.de/10001718682