Tempered stable structural model in pricing credit spread and credit default swap.
- Published in:
- Review of Derivatives Research, 2018, v. 21, n. 1, p. 119, doi. 10.1007/s11147-017-9135-5
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- Publication type:
- Article
Works matching IS 13806645 AND DT 2018 AND VI 21 AND IP 1
Results: 4
1
2
The determinants of CDS spreads: evidence from the model space.
- Published in:
- Review of Derivatives Research, 2018, v. 21, n. 1, p. 63, doi. 10.1007/s11147-017-9134-6
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- Publication type:
- Article
3
Did crisis alter trading of two major oil futures markets?
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- Review of Derivatives Research, 2018, v. 21, n. 1, p. 45, doi. 10.1007/s11147-017-9133-7
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- Publication type:
- Article
4
A multivariate stochastic volatility model with applications in the foreign exchange market.
- Published in:
- Review of Derivatives Research, 2018, v. 21, n. 1, p. 1, doi. 10.1007/s11147-017-9132-8
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- Publication type:
- Article