IDEAS home Printed from https://ideas.repec.org/r/wsi/wschap/9789813147522_0003.html
   My bibliography  Save this item

Derivatives

In: THE ECONOMIC FOUNDATIONS OF RISK MANAGEMENT Theory, Practice, and Applications

Citations

Citations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
as


Cited by:

  1. ilya, gikhman, 2006. "Fixed-income instrument pricing," MPRA Paper 1449, University Library of Munich, Germany.
  2. Bronka Rzepkowski, 2003. "Order Flows, Delta Hedging and Exchange Rate Dynamics," Working Papers 2003-18, CEPII research center.
  3. Jirô Akahori & Hiroki Aoki & Yoshihiko Nagata, 2006. "Generalizations of Ho–Lee’s binomial interest rate model I: from one- to multi-factor," Asia-Pacific Financial Markets, Springer;Japanese Association of Financial Economics and Engineering, vol. 13(2), pages 151-179, June.
  4. Dietmar P.J. Leisen, 1997. "The Random-Time Binomial Model," Finance 9711005, University Library of Munich, Germany, revised 29 Nov 1998.
  5. Andrew Matacz, 2000. "Path Dependent Option Pricing: the path integral partial averaging method," Papers cond-mat/0005319, arXiv.org.
  6. Ram Bhar & Carl Chiarella & Thuy-Duong To, 2004. "Estimating the Volatility Structure of an Arbitrage-Free Interest Rate Model Via the Futures Markets," Finance 0409003, University Library of Munich, Germany.
  7. Martin Keller-Ressel & Antonis Papapantoleon & Josef Teichmann, 2009. "The affine LIBOR models," Papers 0904.0555, arXiv.org, revised Jul 2011.
  8. Gunther Capelle-Blancard, 2010. "Are Derivatives Dangerous? A Literature Survey," International Economics, CEPII research center, issue 123, pages 67-89.
  9. Olivier de La Grandville, 2001. "Immunization of Bond Portfolios: Some New Results," Economics Discussion / Working Papers 01-26, The University of Western Australia, Department of Economics.
  10. Sven Rady, 1997. "Option pricing in the presence of natural boundaries and a quadratic diffusion term (*)," Finance and Stochastics, Springer, vol. 1(4), pages 331-344.
  11. K. Rajaratnam, 2009. "A Simplified Approach to modeling the credit-risk of CMO," Papers 0903.1643, arXiv.org, revised Jan 2012.
  12. Robert A. Jarrow, 1999. "In Honor of the Nobel Laureates Robert C. Merton and Myron S. Scholes: A Partial Differential Equation That Changed the World," Journal of Economic Perspectives, American Economic Association, vol. 13(4), pages 229-248, Fall.
  13. Ramaprasad Bhar & Carl Chiarella, 2000. "Expectations of monetary policy in Australia implied by the probability distribution of interest rate derivatives," The European Journal of Finance, Taylor & Francis Journals, vol. 6(2), pages 113-125.
  14. Frank Milne & Edwin H. Neave, 2003. "A General Equilibrium Financial Asset Economy With Transaction Costs And Trading Constraints," Working Paper 1082, Economics Department, Queen's University.
  15. Hazer Inaltekin & Robert Jarrow & Mehmet Saglam & Yildiray Yildirim, 2009. "Housing Market Microstructure," Papers 0907.1853, arXiv.org.
  16. Damiano Brigo & Andrea Pallavicini & Roberto Torresetti, 2009. "Credit models and the crisis, or: how I learned to stop worrying and love the CDOs," Papers 0912.5427, arXiv.org, revised Feb 2010.
  17. Alberto Suárez & Santiago Carrillo, 2003. "Computational Tools for the Analysis of Market Risk," Computational Economics, Springer;Society for Computational Economics, vol. 21(1), pages 153-172, February.
  18. Wolfgang Kluge & Antonis Papapantoleon, 2009. "On the valuation of compositions in L\'evy term structure models," Papers 0902.3456, arXiv.org.
  19. Antonis Papapantoleon & Maria Siopacha, 2009. "Strong Taylor approximation of stochastic differential equations and application to the L\'evy LIBOR model," Papers 0906.5581, arXiv.org, revised Oct 2010.
  20. Carl Chiarella & Nadima El-Hassan, 1999. "Pricing American Interest Rate Options in a Heath-Jarrow-Morton Framework Using Method of Lines," Research Paper Series 12, Quantitative Finance Research Centre, University of Technology, Sydney.
  21. James M. O'Brien, 2000. "Estimating the value and interest rate risk of interest-bearing transactions deposits," Finance and Economics Discussion Series 2000-53, Board of Governors of the Federal Reserve System (U.S.).
  22. Hranaiova, Jana & Tomek, William G., 1999. "The Timing Option In Futures Contracts And Price Behavior At Contract Maturity," Working Papers 14740, Cornell University, Department of Applied Economics and Management.
  23. Jerome L. Stein, 2009. "Application of Stochastic Optimal Control to Financial Market Debt Crises," CESifo Working Paper Series 2539, CESifo.
  24. Geng Li & Paul A. Smith, 2009. "New evidence on 401(k) borrowing and household balance sheets," Finance and Economics Discussion Series 2009-19, Board of Governors of the Federal Reserve System (U.S.).
  25. Hranaiova, Jana & Tomek, William G., 1999. "The Timing Option In Futures Contracts And Price Behavior At Contract Maturity," 1999 Annual meeting, August 8-11, Nashville, TN 21677, American Agricultural Economics Association (New Name 2008: Agricultural and Applied Economics Association).
  26. Koichi Matsumoto, 2003. "Implied Default Probability and Credit Derivatives," Asia-Pacific Financial Markets, Springer;Japanese Association of Financial Economics and Engineering, vol. 10(2), pages 129-149, September.
  27. Ramaprasad Bhar, 2010. "Stochastic Filtering with Applications in Finance," World Scientific Books, World Scientific Publishing Co. Pte. Ltd., number 7736, August.
  28. Forte, Santiago, 2003. "Debt refinancing and credit risk," DEE - Working Papers. Business Economics. WB wb031704, Universidad Carlos III de Madrid. Departamento de Economía de la Empresa.
  29. Ram Bhar & Carl Chiarella & Thuy Duong To, 2002. "A Maximum Likelihood Approach to Estimation of Heath-Jarrow-Morton Models," Research Paper Series 80, Quantitative Finance Research Centre, University of Technology, Sydney.
  30. Tak Kuen Siu & Hailiang Yang, 2000. "A PDE approach to risk measures of derivatives," Applied Mathematical Finance, Taylor & Francis Journals, vol. 7(3), pages 211-228.
  31. Erik Schlögl, 2002. "A multicurrency extension of the lognormal interest rate Market Models," Finance and Stochastics, Springer, vol. 6(2), pages 173-196.
  32. R. Jarrow & A. Purnanandam, 2007. "The valuation of a firm’s investment opportunities: a reduced form credit risk perspective," Review of Derivatives Research, Springer, vol. 10(1), pages 39-58, January.
  33. Alberto Suarez & Santiago Carrillo, 2000. "Computational Tools For The Analysis Of Market Risk," Computing in Economics and Finance 2000 144, Society for Computational Economics.
  34. Geng Li & Paul A. Smith, 2008. "Borrowing from yourself: 401(k) loans and household balance sheets," Finance and Economics Discussion Series 2008-42, Board of Governors of the Federal Reserve System (U.S.).
  35. David Babbel & Craig Merrill, 1998. "Economic Valuation Models for Insurers," North American Actuarial Journal, Taylor & Francis Journals, vol. 2(3), pages 1-15.
  36. ilya, gikhman, 2006. "Some critical comments on credit risk modeling," MPRA Paper 1451, University Library of Munich, Germany, revised Jul 2006.
  37. Robert Jarrow, 2007. "A Critique of Revised Basel II," Journal of Financial Services Research, Springer;Western Finance Association, vol. 32(1), pages 1-16, October.
  38. Mark Broadie & Jérôme Detemple, 1996. "Recent Advances in Numerical Methods for Pricing Derivative Securities," CIRANO Working Papers 96s-17, CIRANO.
IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.