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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
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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
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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
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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
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Price dispersion in OTC markets : a new measure of liquidity
Jankowitsch, Rainer; Nashikkar, Amrut; Subrahmanyam, … - In: Journal of banking & finance 35 (2011) 2, pp. 343-357
Persistent link: https://www.econbiz.de/10009244296
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Illiquidity or credit deterioration : a study of liquidity in the US corporate bond market during financial crises
Friewald, Nils; Jankowitsch, Rainer; Subrahmanyam, Marti G. - In: Journal of financial economics 105 (2012) 1, pp. 18-36
Persistent link: https://www.econbiz.de/10009622452
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Latent liquidity : a new measure of liquidity, with an application to corporate bonds
Mahanti, Sriketan; Nashikkar, Amrut; Subrahmanyam, Marti G. - In: Journal of financial economics 88 (2008) 2, pp. 272-298
Persistent link: https://www.econbiz.de/10003720278
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Transparency and liquidity in the structured product market
Friewald, Nils; Jankowitsch, Rainer; Subrahmanyam, Marti G. - In: Review of asset pricing studies 7 (2017) 2, pp. 316-348
Persistent link: https://www.econbiz.de/10011779096
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Illiquidity or Credit Deterioration : A Study of Liquidity in the US Corporate Bond Market during Financial Crises
Friewald, Nils - 2010
We use a unique data-set to study liquidity effects in the US corporate bond market, covering more than 20,000 bonds. Our analysis explores time-series and cross-sectional aspects of corporate bond yield spreads, with the main focus being on the quantification of the impact of liquidity factors,...
Persistent link: https://www.econbiz.de/10013150981
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Illiquidity or Credit Deterioration : A Study of Liquidity in the US Corporate Bond Market during Financial Crises
Friewald, Nils - 2010
We use a unique data-set to study liquidity effects in the US corporate bond market, covering more than 20,000 bonds. Our analysis explores time-series and cross-sectional aspects of corporate bond yield spreads, with the main focus being on the quantification of the impact of liquidity factors,...
Persistent link: https://www.econbiz.de/10013152489