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Delta-hedging correlation risk?
Cousin, Areski; Crépey, Stéphane; Kan, Yu Hang - In: Review of derivatives research 15 (2012) 1, pp. 25-57
Persistent link: https://www.econbiz.de/10009843785
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DEFAULTABLE OPTIONS IN A MARKOVIAN INTENSITY MODEL OF CREDIT RISK
Bielecki, Tomasz R.; Crépey, Stéphane; Jeanblanc, Monique - In: Mathematical finance : an international journal of … 18 (2008) 4, pp. 493-518
Persistent link: https://www.econbiz.de/10008103933
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Pricing convertible bonds with call protection
Crépey, Stéphane; Rahal, Abdallah - In: The journal of computational finance 15 (2011) 2, pp. 37-77
Persistent link: https://www.econbiz.de/10009816296
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Implied migration rates from credit barrier models
Albanese, Claudio; Chen, Oliver X. - In: Journal of banking & finance 30 (2006) 2, pp. 607-626
Persistent link: https://www.econbiz.de/10005878625
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Small transaction cost asymptotics and dynamic hedging
Albanese, Claudio; Tompaidis, Stathis - In: European journal of operational research : EJOR 185 (2008) 3, pp. 1404-1414
Persistent link: https://www.econbiz.de/10007895500
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HYBRIDS Pricing equity default swaps - The authors discuss the challenges of pricing equity default swaps, a credit-equity hybrid product. The uncertainty about what the right pricing framework should be gives rise to substantial model risk.
Albanese, Claudio; Chen, Oliver - In: Risk : managing risk in the world's financial markets 18 (2005) 6, pp. 83-88
Persistent link: https://www.econbiz.de/10007022575
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HYBRIDS - Pricing equity default swaps - The authors discuss the challenges of pricing equity default swaps, a credit equity hybrid product. The uncertainty about what the right pricing framework should be gives rise to substantial model risk.
Albanese, Claudio; Chen, Oliver - In: Risk : managing risk in the world's financial markets 18 (2005) 6, pp. 83-88
Persistent link: https://www.econbiz.de/10007022881
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Option pricing - Unifying volatility models - The authors introduce a method of building analytically tractable option pricing models that combine state-dependent volatility, stochastic volatility and jumps
Albanese, Claudio; Kuznetsov, Alexey - In: Risk : managing risk in the world's financial markets 17 (2004) 3, pp. 94-98
Persistent link: https://www.econbiz.de/10007028440
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Credit derivatives: Credit barrier models The authors construct an analytic credit barrier model driven by credit ratings, constrained to fit the term structure of credit spreads.
Albanese, Claudio; Campolieti, Giuseppe; Chen, Oliver; … - In: Risk : managing risk in the world's financial markets 16 (2003) 6, pp. 109-114
Persistent link: https://www.econbiz.de/10007031667