Correlation Smile, Volatility Skew, and Systematic Risk Sensitivity of Tranches.
- Published in:
- Journal of Derivatives, 2012, v. 19, n. 3, p. 8, doi. 10.3905/jod.2012.19.3.008
- By:
- Publication type:
- Article
Works matching IS 10741240 AND DT 2012 AND VI 19 AND IP 3
Results: 7
1
2
A LETTER FROM THE DIRECTOR OF THE IAFE.
- Published in:
- Journal of Derivatives, 2012, v. 19, n. 3, p. 7
- By:
- Publication type:
- Article
3
A Closed-Form Pricing Formula for Mortgages Incorporating Termination Hazard Rates and Recovery Rate as Correlated Stochastic Processes with Jump Components.
- Published in:
- Journal of Derivatives, 2012, v. 19, n. 3, p. 49, doi. 10.3905/jod.2012.19.3.049
- By:
- Publication type:
- Article
4
Determinants of Trading Activity on the Single-Stock Futures Market: Evidence from the Eurex Exchange.
- Published in:
- Journal of Derivatives, 2012, v. 19, n. 3, p. 29
- By:
- Publication type:
- Article
5
A Note to Enhance the BPW Model for the Pricing of Basket and Spread Options.
- Published in:
- Journal of Derivatives, 2012, v. 19, n. 3, p. 77, doi. 10.3905/jod.2012.19.3.077
- By:
- Publication type:
- Article
6
Charm-Adjusted Delta and Delta Gamma Hedging.
- Published in:
- Journal of Derivatives, 2012, v. 19, n. 3, p. 69, doi. 10.3905/jod.2012.19.3.069
- By:
- Publication type:
- Article
7
Untitled.
- Published in:
- Journal of Derivatives, 2012, v. 19, n. 3, p. 1
- By:
- Publication type:
- Article