Similar Search Results

The good or the bad? : which mutual fund managers join hedge funds?

Deuskar, Prachi; Pollet, Joshua M.; Wang, Z. Jay; Lu, Zheng - In: The review of financial studies 24 (2011) 9, pp. 3008-3024

Persistent link: https://www.econbiz.de/10009373073

Market liquidity and flow-driven risk

Deuskar, Prachi; Johnson, Tim - In: The review of financial studies 24 (2011) 3, pp. 721-753

Persistent link: https://www.econbiz.de/10008934104

Hedging in the possible presence of unspanned stochastic volatility : evidence from swaption markets

Fan, Rong; Gupta, Anurag; Ritchken, Peter H. - In: The journal of finance : the journal of the American … 58 (2003) 5, pp. 2219-2248

Persistent link: https://www.econbiz.de/10001797838

Do hedge funds have enough capital? : A value-at-risk approach

Gupta, Anurag; Liang, Bing - In: Journal of financial economics 77 (2005) 1, pp. 219-253

Persistent link: https://www.econbiz.de/10002936249

On pricing and hedging in the swaption market : how many factors, really?

Fan, Rong; Gupta, Anurag; Ritchken, Peter H. - In: The journal of derivatives : the official publication … 15 (2007) 1, pp. 9-33

Persistent link: https://www.econbiz.de/10003611410

The valuation of American barrier options using the decomposition technique

Gao, Bin; Huang, Jing-Zhi; Subrahmanyam, Marti G. - In: Journal of economic dynamics & control 24 (2000) 11/12, pp. 1783-1827

Persistent link: https://www.econbiz.de/10001508774

Options on stock indices and options on futures

Brenner, Menachem - In: Journal of banking & finance 13 (1989) 4, pp. 773-782

Persistent link: https://www.econbiz.de/10001075339

Transmission of swap spreads and volatilities in the Japenese swap market

Eom, Young Ho; Subrahmanyam, Marti G.; Uno, Jun - In: The journal of fixed income 12 (2002) 1, pp. 6-28

Persistent link: https://www.econbiz.de/10001725689

The Determinants of Recovery Rates in the US Corporate Bond Market

Jankowitsch, Rainer - 2014

We examine the recovery rates of defaulted bonds in the US corporate bond market over the time period from 2002 to 2010, based on a complete set of traded prices and volumes. A detailed study of the microstructure of trading in defaulted bonds around various types of default events is provided....

Persistent link: https://www.econbiz.de/10013065532

Liquidity and arbitrage in the market for credit risk

Nashikkar, Amrut; Subrahmanyam, Marti G.; Mahanti, Sriketan - In: Journal of financial and quantitative analysis : JFQA 46 (2011) 3, pp. 627-656

Persistent link: https://www.econbiz.de/10009385041