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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

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

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

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: Managing and measuring risk : emerging global standards …, (pp. 159-200). 2012

Persistent link: https://www.econbiz.de/10009742623

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

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

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