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Unspanned stochastic volatility and fixed income derivatives pricing
Casassus, Jaime; Collin-Dufresne, Pierre; Goldstein, Bob - In: Journal of banking & finance 29 (2005) 11, pp. 2723-2749
Persistent link: https://www.econbiz.de/10003121044
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Stochastic convenience yield implied from commodity futures and interest rates
Casassus, Jaime; Collin-Dufresne, Pierre - In: The journal of finance : the journal of the American … 60 (2005) 5, pp. 2283-2332
Persistent link: https://www.econbiz.de/10003159354
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Equilibrium commodity prices with irreversible investment and non-linear technologies
Casassus, Jaime; Collin-Dufresne, Pierre; Routledge, … - In: Journal of banking & finance 95 (2018), pp. 128-147
Persistent link: https://www.econbiz.de/10011966725
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Maximal Gaussian affine models for multiple commodities : a note
Casassus, Jaime; Liu, Peng; Tang, Ke - In: The journal of futures markets 35 (2015) 1, pp. 75-86
Persistent link: https://www.econbiz.de/10011346168
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Economic linkages, relative scarcity, and commodity futures returns
Casassus, Jaime; Liu, Peng; Tang, Ke - In: The review of financial studies 26 (2013) 5, pp. 1324-1362
Persistent link: https://www.econbiz.de/10009752184
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Consumption and hedging in oil-importing developing countries
Aldunate, Felipe; Casassus, Jaime - In: European financial management : the journal of the … 18 (2012) 5, pp. 896-928
Persistent link: https://www.econbiz.de/10009665599
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Optimal timing of a mine expansion : implementing a real optaions model
Cortazar, Gonzalo; Casassus, Jaime - In: The quarterly review of economics and finance : journal … 38 (1998) Special issue, pp. 755-769
Persistent link: https://www.econbiz.de/10001473135
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A short introduction to correlation markets
Collin-Dufresne, Pierre - In: Journal of financial econometrics : official journal of … 7 (2009) 1, pp. 12-29
Persistent link: https://www.econbiz.de/10003825731
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Identification of maximal affine term structure models
Collin-Dufresne, Pierre; Goldstein, Robert S.; Jones, … - In: The journal of finance : the journal of the American … 63 (2008) 2, pp. 743-795
Persistent link: https://www.econbiz.de/10003822769
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On the relation between the credit spread puzzle and the equity premium puzzle
Chen, Long; Collin-Dufresne, Pierre; Goldstein, Robert S. - In: The review of financial studies 22 (2009) 9, pp. 3367-3409
Persistent link: https://www.econbiz.de/10003885699