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The determinants of sovereign credit spread changes in the Euro-zone

Oliveira, Luís; Curto, José Dias; Nunes, Joaõ Pedro Vidal - In: Journal of international financial markets, … 22 (2012) 2, pp. 278-304

Persistent link: https://www.econbiz.de/10009581700

Multi-Factor and Analytical Valuation of Treasury Bond Futures with an Embedded Quality Option

Oliveira, Luís - 2008

A closed-form pricing solution is proposed for the quality option embedded in Treasury bond futures contracts, under a multi-factor and Gaussian Heath, Jarrow, and Morton (1992) framework. Such an analytical solution can be obtained through a conditioning approximation, in the sense of Curran...

Persistent link: https://www.econbiz.de/10012774478

Multi-Factor and Analytical Valuation of Treasury Bond Futures with an Embedded Quality Option

Oliveira, Luís - 2006

A closed-form pricing solution is proposed for the quality option embedded in Treasury bond futures contracts, under a multi-factor and D. Heath, R. Jarrow, and A. Morton (1992) Gaussian framework. Such an analytical solution can be obtained through a conditioning approximation, in the sense of...

Persistent link: https://www.econbiz.de/10012779105

American options and callable bonds under stochastic interest rates and endogenous bankruptcy

Nunes, Joaõ Pedro Vidal - In: Review of derivatives research 14 (2011) 3, pp. 283-332

Persistent link: https://www.econbiz.de/10009349987

Pricing and static hedging of American-style options under the jump to default extended CEV model

Ruas, João Pedro; Dias, José Carlos; Nunes, Joaõ … - In: Journal of banking & finance 37 (2013) 11, pp. 4059-4072

Persistent link: https://www.econbiz.de/10010244898

Pricing real options under the constant elasticity of variance diffusion

Dias, José Carlos; Nunes, Joaõ Pedro Vidal - In: The journal of futures markets 31 (2011) 3, pp. 230-250

Persistent link: https://www.econbiz.de/10008908403

Barrier options on spot LIBOR rates under multi-factor Gaussian HJM model

Nunes, Joaõ Pedro Vidal - In: The journal of derivatives : the official publication … 14 (2006) 1, pp. 61-81

Persistent link: https://www.econbiz.de/10003379130

Multifactor and analytical valuation of treasury bond futures with an embedded quality option

Nunes, Joaõ Pedro Vidal; Oliveira, Luís Alberto … - In: The journal of futures markets 27 (2007) 3, pp. 275-303

Persistent link: https://www.econbiz.de/10003493051

Pricing American options under the constant elasticity of variance model and subject to bankruptcy

Nunes, Joaõ Pedro Vidal - In: Journal of financial and quantitative analysis : JFQA 44 (2009) 5, pp. 1231-1263

Persistent link: https://www.econbiz.de/10003939136

Pricing and static hedging of American-style knock-in options on defaultable stocks

Nunes, Joaõ Pedro Vidal; Ruas, João Pedro; Dias, … - In: Journal of banking & finance 58 (2015), pp. 343-360

Persistent link: https://www.econbiz.de/10011544015