Similar Search Results - EconBiz

Unifying Gaussian dynamic term structure models from a Heath-Jarrow-Morton perspective

Li, Haitao; Ye, Xiaoxia; Yu, Fan - In: European journal of operational research : EJOR 286 (2020) 3, pp. 1153-1167

Persistent link: https://www.econbiz.de/10012291633

Credit Derivatives and Corporate Default Prediction

Ye, Xiaoxia; Yu, Fan; Zhao, Ran - 2021

There have been 128 defaults among U.S. CDS reference entities between 2001 and 2020. Within this sample, the five-year CDS spread is a significant predictor of corporate default in models with equity market covariates and firm attributes. This finding holds for forecast horizons up to 12...

Persistent link: https://www.econbiz.de/10013213330

Credit derivatives and corporate default prediction

Ye, Xiaoxia; Yu, Fan; Zhao, Ran - In: Journal of banking & finance 138 (2022), pp. 1-14

Persistent link: https://www.econbiz.de/10013461780

Option pricing and market efficiency

Jarrow, Robert A. - In: The journal of portfolio management : a publication of … 40 (2013) 1, pp. 88-94

Persistent link: https://www.econbiz.de/10010246276

A characterization theorem for unique risk neutral probability measures

Jarrow, Robert A. - In: Economics letters 22 (1986) 1, pp. 61-65

Persistent link: https://www.econbiz.de/10001018426

Derivative security markets, market manipulation, and option pricing theory

Jarrow, Robert A. - In: Journal of financial and quantitative analysis : JFQA 29 (1994) 2, pp. 241-261

Persistent link: https://www.econbiz.de/10001165922

Convenience yields

Jarrow, Robert A. - In: Review of derivatives research 13 (2010) 1, pp. 25-43

Persistent link: https://www.econbiz.de/10008695502

Financial derivatives pricing : selected works of Robert Jarrow

Jarrow, Robert A. - 2008

Persistent link: https://www.econbiz.de/10003765886

Asset price bubbles and risk management

Jarrow, Robert A. - In: Journal of risk 20 (2017/2018) 1, pp. 59-76

Persistent link: https://www.econbiz.de/10011847429

The economics of insurance : a derivatives-based approach

Jarrow, Robert A. - In: Annual review of financial economics 13 (2021), pp. 79-110

Persistent link: https://www.econbiz.de/10012612499

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