8
H index
8
i10 index
1407
Citations
| 8 H index 8 i10 index 1407 Citations RESEARCH PRODUCTION: 18 Articles 4 Papers 1 Chapters RESEARCH ACTIVITY:
MORE DETAILS IN: ABOUT THIS REPORT:
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Works with: Authors registered in RePEc who have co-authored more than one work in the last five years with Alan White. | Is cited by: | Cites to: |
Journals with more than one article published | # docs |
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Journal of Financial and Quantitative Analysis | 3 |
Journal of Banking & Finance | 3 |
American Journal of Public Health | 3 |
AFBM Journal | 2 |
Working Papers Series with more than one paper published | # docs |
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EB Series / Cornell University, Department of Applied Economics and Management | 2 |
Year | Title of citing document | |
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2021 | Lévy interest rate models with a long memory. (2021). Hainaut, Donatien. In: LIDAM Discussion Papers ISBA. RePEc:aiz:louvad:2021020. Full description at Econpapers || Download paper | |
2021 | Asymmetric short-rate model without lower bound. (2021). Wang, Linqi ; Vrins, Frederic. In: LIDAM Discussion Papers LFIN. RePEc:ajf:louvlf:2021006. Full description at Econpapers || Download paper | |
2021 | Communication of Credit Rating Agencies and Financial Markets. (2021). Menna, Lorenzo ; Tobal, Martin. In: Working Papers. RePEc:aoz:wpaper:80. Full description at Econpapers || Download paper | |
2022 | The Zero-Coupon Rate Model for Derivatives Pricing. (2016). Lin, Xiao. In: Papers. RePEc:arx:papers:1606.01343. Full description at Econpapers || Download paper | |
2022 | Securities Lending Strategies: Valuation of Term Loans using Option Theory. (2018). Kashyap, Ravi. In: Papers. RePEc:arx:papers:1609.01274. Full description at Econpapers || Download paper | |
2021 | The Hull-White Model under Knightian Uncertainty about the Volatility. (2019). Holzermann, Julian. In: Papers. RePEc:arx:papers:1808.03463. Full description at Econpapers || Download paper | |
2021 | Term Structure Modeling under Volatility Uncertainty: A Forward Rate Model driven by G-Brownian Motion. (2019). Lin, Qian ; Holzermann, Julian. In: Papers. RePEc:arx:papers:1904.02930. Full description at Econpapers || Download paper | |
2021 | Total positivity and the classification of term structure shapes in the two-factor Vasicek model. (2019). Keller-Ressel, Martin. In: Papers. RePEc:arx:papers:1908.04667. Full description at Econpapers || Download paper | |
2021 | Hedging with Neural Networks. (2020). Wang, Weiguan ; Ruf, Johannes. In: Papers. RePEc:arx:papers:2004.08891. Full description at Econpapers || Download paper | |
2022 | Generalisation of Fractional-Cox-Ingersoll-Ross Process. (2020). Mulaudzi, Mmboniseni ; Mukeru, Safari ; Mpanda, Marc Mukendi. In: Papers. RePEc:arx:papers:2008.07798. Full description at Econpapers || Download paper | |
2021 | Price Impact on Term Structure. (2020). Neuman, Eyal ; Graceffa, Federico ; Brigo, Damiano. In: Papers. RePEc:arx:papers:2011.10113. Full description at Econpapers || Download paper | |
2021 | Short Rate Dynamics: A Fed Funds and SOFR perspective. (2021). Schlogl, Erik ; Gellert, Karol. In: Papers. RePEc:arx:papers:2101.04308. Full description at Econpapers || Download paper | |
2021 | Three little arbitrage theorems. (2021). Contreras, Mauricio ; Ortiz, Roberto . In: Papers. RePEc:arx:papers:2104.10187. Full description at Econpapers || Download paper | |
2021 | How to handle negative interest rates in a CIR framework. (2021). Kamm, Kevin ; di Francesco, Marco. In: Papers. RePEc:arx:papers:2106.03716. Full description at Econpapers || Download paper | |
2021 | Options on Bonds: Implied Volatilities from Affine Short-Rate Dynamics. (2021). Suaysom, Natchanon ; Lorig, Matthew. In: Papers. RePEc:arx:papers:2106.04518. Full description at Econpapers || Download paper | |
2022 | Option Pricing under Bayesian MS-VAR Process. (2021). Gankhuu, Battulga. In: Papers. RePEc:arx:papers:2109.05998. Full description at Econpapers || Download paper | |
2022 | Correlation Estimation in Hybrid Systems. (2021). Law, Baron . In: Papers. RePEc:arx:papers:2111.06042. Full description at Econpapers || Download paper | |
2022 | New volatility evolution model after extreme events. (2022). Li, Sai-Ping ; Chen, Zhang-Hangjian ; Cai, Mei-Ling ; Ren, Fei ; Yang, Ming-Yuan ; Zhang, Wei ; Xiong, Xiong. In: Papers. RePEc:arx:papers:2201.03213. Full description at Econpapers || Download paper | |
2022 | Are all Credit Default Swap Databases equal?. (2022). Mayordomo, Sergio ; Schwartz, Eduardo S ; Pena, Juan Ignacio. In: Papers. RePEc:arx:papers:2202.02273. Full description at Econpapers || Download paper | |
2022 | European Power Option Pricing with Extended Vasic\v{e}k Interest Rate and Exponential Ornstein-Uhlenbeck Asset Process under Different Market Assumptions. (2022). Liu, Jingwei. In: Papers. RePEc:arx:papers:2205.10665. Full description at Econpapers || Download paper | |
2022 | Hedging option books using neural-SDE market models. (2022). Wang, Sheng ; Reisinger, Christoph ; Cohen, Samuel N. In: Papers. RePEc:arx:papers:2205.15991. Full description at Econpapers || Download paper | |
2022 | Bartletts Delta revisited: Variance-optimal hedging in the lognormal SABR and in the rough Bergomi model. (2022). Keller-Ressel, Martin. In: Papers. RePEc:arx:papers:2207.13573. Full description at Econpapers || Download paper | |
2022 | Optimal exercise of American options under time-dependent Ornstein-Uhlenbeck processes. (2022). Garc, Eduardo ; D'Auria, Bernardo ; Azze, Abel. In: Papers. RePEc:arx:papers:2211.04095. Full description at Econpapers || Download paper | |
2022 | Accelerated Computations of Sensitivities for xVA. (2022). Wolf, Felix ; Grzelak, Lech A ; Deelstra, Griselda. In: Papers. RePEc:arx:papers:2211.17026. Full description at Econpapers || Download paper | |
2021 | A composite indicator of sovereign bond market liquidity in the euro area. (2021). Taboga, Marco ; Poli, Riccardo. In: Questioni di Economia e Finanza (Occasional Papers). RePEc:bdi:opques:qef_663_21. Full description at Econpapers || Download paper | |
2021 | Disentangling types of liquidity and testing limits?to?arbitrage theories in the CDS–bond basis. (2021). Schnitzler, Jan ; Augustin, Patrick. In: European Financial Management. RePEc:bla:eufman:v:27:y:2021:i:1:p:120-146. Full description at Econpapers || Download paper | |
2021 | Relevance of the disposition effect on the options market: New evidence. (2021). Chou, Robin K ; Chiu, Hsinyu ; Chiang, Mihsiu. In: Financial Management. RePEc:bla:finmgt:v:50:y:2021:i:1:p:75-106. Full description at Econpapers || Download paper | |
2022 | The role of credit default swaps in determining corporate payout policy. (2022). Oh, Frederick Dongchuhl ; Lee, Hwang Hee. In: Financial Management. RePEc:bla:finmgt:v:51:y:2022:i:2:p:635-661. Full description at Econpapers || Download paper | |
2021 | Contagion of fear: Is the impact of COVID?19 on sovereign risk really indiscriminate?. (2021). Cevik, Serhan ; Ozturkkal, Belma. In: International Finance. RePEc:bla:intfin:v:24:y:2021:i:2:p:134-154. Full description at Econpapers || Download paper | |
2021 | Its the tone, stupid! Soft information in credit rating reports and financial markets. (2021). Kiesel, Florian. In: Journal of Financial Research. RePEc:bla:jfnres:v:44:y:2021:i:3:p:553-585. Full description at Econpapers || Download paper | |
2021 | Efficient valuation of variable annuity portfolios with dynamic programming. (2021). Moenig, Thorsten. In: Journal of Risk & Insurance. RePEc:bla:jrinsu:v:88:y:2021:i:4:p:1023-1055. Full description at Econpapers || Download paper | |
2022 | The Laplace transform of the integrated Volterra Wishart process. (2022). Jaber, Eduardo Abi. In: Mathematical Finance. RePEc:bla:mathfi:v:32:y:2022:i:1:p:309-348. Full description at Econpapers || Download paper | |
2021 | Valuación de Títulos de Deuda Indexados al Comportamiento de un Índice Accionario: Un Modelo con Riesgo de Crédito, Parte 2. (2021). Perillo, Marcelo F. In: CEMA Working Papers: Serie Documentos de Trabajo.. RePEc:cem:doctra:790. Full description at Econpapers || Download paper | |
2022 | The relevance of GAAP vs. non-GAAP net assets to creditors: An examination of the credit default swap market. (2022). Taylor, Gary K ; Hill, Mary S ; Brasel, Kelsey R. In: Advances in accounting. RePEc:eee:advacc:v:56:y:2022:i:c:s0882611021000687. Full description at Econpapers || Download paper | |
2021 | Markov chain approximation and measure change for time-inhomogeneous stochastic processes. (2021). Ning, Ning ; Ding, Kailin. In: Applied Mathematics and Computation. RePEc:eee:apmaco:v:392:y:2021:i:c:s0096300320306858. Full description at Econpapers || Download paper | |
2021 | Deep learning for CVA computations of large portfolios of financial derivatives. (2021). Oosterlee, Cornelis W ; Andersson, Kristoffer. In: Applied Mathematics and Computation. RePEc:eee:apmaco:v:409:y:2021:i:c:s0096300321004884. Full description at Econpapers || Download paper | |
2021 | Option pricing with polynomial chaos expansion stochastic bridge interpolators and signed path dependence. (2021). Peters, Gareth W ; Dias, Fabio S. In: Applied Mathematics and Computation. RePEc:eee:apmaco:v:411:y:2021:i:c:s0096300321005737. Full description at Econpapers || Download paper | |
2022 | Closed-form formula for conditional moments of generalized nonlinear drift CEV process. (2022). Rujivan, Sanae ; Mekchay, Khamron ; Sutthimat, Phiraphat. In: Applied Mathematics and Computation. RePEc:eee:apmaco:v:428:y:2022:i:c:s0096300322002879. Full description at Econpapers || Download paper | |
2022 | The pricing of China stock index options based on monetary policy uncertainty. (2022). Wang, Haijie ; Chang, Chun-Ping ; Ma, Chao ; Niu, Jing. In: Journal of Asian Economics. RePEc:eee:asieco:v:81:y:2022:i:c:s1049007822000616. Full description at Econpapers || Download paper | |
2021 | Financial news and CDS spreads. (2021). Bannigidadmath, Deepa ; Narayan, Paresh Kumar. In: Journal of Behavioral and Experimental Finance. RePEc:eee:beexfi:v:29:y:2021:i:c:s2214635020303774. Full description at Econpapers || Download paper | |
2022 | New volatility evolution model after extreme events. (2022). Ren, Fei ; Yang, Ming-Yuan ; Zhang, Wei ; Xiong, Xiong ; Li, Sai-Ping ; Chen, Zhang-Hangjian ; Cai, Mei-Ling. In: Chaos, Solitons & Fractals. RePEc:eee:chsofr:v:154:y:2022:i:c:s0960077921009620. Full description at Econpapers || Download paper | |
2022 | Valuation of European-style vulnerable options under the non-affine stochastic volatility and double exponential jump. (2022). Guo, Xunxiang ; Huang, Shoude. In: Chaos, Solitons & Fractals. RePEc:eee:chsofr:v:158:y:2022:i:c:s0960077922002132. Full description at Econpapers || Download paper | |
2021 | Forecasting U.S. Yield Curve Using the Dynamic Nelson–Siegel Model with Random Level Shift Parameters. (2021). Xu, Jiawen ; Pang, Tao ; Luo, Deqing. In: Economic Modelling. RePEc:eee:ecmode:v:94:y:2021:i:c:p:340-350. Full description at Econpapers || Download paper | |
2021 | Sample average approximation of CVaR-based hedging problem with a deep-learning solution. (2021). Bao, Ying ; Zhao, Yanlong ; Li, Shuang ; Peng, Cheng. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:56:y:2021:i:c:s1062940820302102. Full description at Econpapers || Download paper | |
2021 | Valuation of callable accreting interest rate swaps: Least squares Monte-Carlo method under Hull-White interest rate model. (2021). Lin, Shih-Kuei ; Zheng, Wen-Jie ; Tang, Kin-Boon . In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:56:y:2021:i:c:s1062940820302242. Full description at Econpapers || Download paper | |
2021 | The COVID-19 Pandemic and Sovereign Bond Risk. (2021). Andrieș, Alin Marius ; Sprincean, Nicu ; Ongena, Steven. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:58:y:2021:i:c:s1062940821001431. Full description at Econpapers || Download paper | |
2022 | Credit rating changes and debt structure. (2022). Kemper, Kristopher J ; Goebel, Joseph M. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:59:y:2022:i:c:s1062940821001662. Full description at Econpapers || Download paper | |
2022 | Fiscal uncertainty and sovereign credit risk. (2022). Hantzsche, Arno. In: European Economic Review. RePEc:eee:eecrev:v:148:y:2022:i:c:s0014292122001453. Full description at Econpapers || Download paper | |
2021 | A distributionally robust optimization approach for stochastic elective surgery scheduling with limited intensive care unit capacity. (2021). Padman, Rema ; Shehadeh, Karmel S. In: European Journal of Operational Research. RePEc:eee:ejores:v:290:y:2021:i:3:p:901-913. Full description at Econpapers || Download paper | |
2022 | Is normal backwardation normal? Valuing financial futures with a local index-rate covariance. (2022). ZIMMERMANN, Paul ; Raimbourg, Philippe. In: European Journal of Operational Research. RePEc:eee:ejores:v:298:y:2022:i:1:p:351-367. Full description at Econpapers || Download paper | |
2021 | Is convexity efficiently priced? Evidence from international swap markets. (2021). Ronzani, Riccardo ; Rebonato, Riccardo. In: Journal of Empirical Finance. RePEc:eee:empfin:v:63:y:2021:i:c:p:392-413. Full description at Econpapers || Download paper | |
2021 | The impact of COVID-19 pandemic on transmission of monetary policy to financial markets. (2021). Han, Liyan ; Wei, Xiaoyun. In: International Review of Financial Analysis. RePEc:eee:finana:v:74:y:2021:i:c:s105752192100048x. Full description at Econpapers || Download paper | |
2021 | Fractal analysis of market (in)efficiency during the COVID-19. (2021). Bianchi, Sergio ; Frezza, Massimiliano ; Pianese, Augusto. In: Finance Research Letters. RePEc:eee:finlet:v:38:y:2021:i:c:s1544612320316652. Full description at Econpapers || Download paper | |
2021 | Rating Announcements, CDS Spread and Volatility During the European Sovereign Crisis. (2021). Salvade, Federica ; Raimbourg, Philippe. In: Finance Research Letters. RePEc:eee:finlet:v:40:y:2021:i:c:s1544612320302695. Full description at Econpapers || Download paper | |
2022 | Multivariate CDS risk premium prediction with SOTA RNNs on MI[N]T countries. (2022). Barokas, Lina ; Kutuk, Yasin. In: Finance Research Letters. RePEc:eee:finlet:v:45:y:2022:i:c:s154461232100266x. Full description at Econpapers || Download paper | |
2022 | The implications of dependence, tail dependence, and bounds’ measures for counterparty credit risk pricing. (2022). Kimura, Herbert ; Sobreiro, Vinicius Amorim ; Belitsky, Vladimir ; Arismendi-Zambrano, Juan. In: Journal of Financial Stability. RePEc:eee:finsta:v:58:y:2022:i:c:s1572308921001261. Full description at Econpapers || Download paper | |
2021 | Sovereign credit ratings: Discovering unorthodox factors and variables. (2021). Teo, Wing Leong ; Chit, Myint Moe ; Choy, Swee Yew. In: Global Finance Journal. RePEc:eee:glofin:v:48:y:2021:i:c:s1044028320300120. Full description at Econpapers || Download paper | |
2021 | Measuring changes in credit risk: The case of CDS event studies. (2021). Betzer, Andre ; Andres, Christian ; Doumet, Markus. In: Global Finance Journal. RePEc:eee:glofin:v:49:y:2021:i:c:s1044028321000454. Full description at Econpapers || Download paper | |
2021 | Alternatives to sharing COVID-19 data with law enforcement: Recommendations for stakeholders. (2021). Molldrem, Stephen ; McClelland, Alexander ; Hussain, Mustafa I. In: Health Policy. RePEc:eee:hepoli:v:125:y:2021:i:2:p:135-140. Full description at Econpapers || Download paper | |
2021 | Prepayment risk in reverse mortgages: An intensity-governed surrender model. (2021). Lee, Yung-Tsung ; Shi, Tianxiang. In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:98:y:2021:i:c:p:68-82. Full description at Econpapers || Download paper | |
2021 | A closed formula for illiquid corporate bonds and an application to the European market. (2021). Nastasi, Emanuele ; Nassigh, Aldo ; Baviera, Roberto. In: Journal of International Financial Markets, Institutions and Money. RePEc:eee:intfin:v:71:y:2021:i:c:s1042443121000020. Full description at Econpapers || Download paper | |
2021 | Loan syndication under Basel II: How do firm credit ratings affect the cost of credit?. (2021). Wu, Eliza ; Politsidis, Panagiotis ; Kim, Suk-Joong ; HASAN, IFTEKHAR. In: Journal of International Financial Markets, Institutions and Money. RePEc:eee:intfin:v:72:y:2021:i:c:s1042443121000500. Full description at Econpapers || Download paper | |
2021 | Corporate social responsibility and the term structure of CDS spreads. (2021). Zhong, Zhaodong ; Wang, Xinjie ; Li, Yubin ; Gao, Feng. In: Journal of International Financial Markets, Institutions and Money. RePEc:eee:intfin:v:74:y:2021:i:c:s1042443121001232. Full description at Econpapers || Download paper | |
2021 | Listing of classical options and the pricing of discount certificates. (2021). Schertler, Andrea. In: Journal of Banking & Finance. RePEc:eee:jbfina:v:123:y:2021:i:c:s0378426620302727. Full description at Econpapers || Download paper | |
2021 | Optimal collective investment: The impact of sharing rules, management fees and guarantees. (2021). Rach, Manuel ; Nguyen, Thai ; Chen, AN. In: Journal of Banking & Finance. RePEc:eee:jbfina:v:123:y:2021:i:c:s0378426620302739. Full description at Econpapers || Download paper | |
2021 | To change or not to change? The CDS market response of firms on credit watch. (2021). Schiereck, Dirk ; Norden, Lars ; Kolaric, Sascha ; Kiesel, Florian. In: Journal of Banking & Finance. RePEc:eee:jbfina:v:125:y:2021:i:c:s037842662100025x. Full description at Econpapers || Download paper | |
2021 | Interest rate risk in the banking book: A closed-form solution for non-maturity deposits. (2021). Blochlinger, Andreas . In: Journal of Banking & Finance. RePEc:eee:jbfina:v:125:y:2021:i:c:s0378426621000388. Full description at Econpapers || Download paper | |
2021 | Under-reaction in the sovereign CDS market. (2021). Zhang, Jinfan ; Yan, Hongjun ; Xiao, Yaqing ; Wang, Xinjie. In: Journal of Banking & Finance. RePEc:eee:jbfina:v:130:y:2021:i:c:s0378426621001503. Full description at Econpapers || Download paper | |
2021 | What determines wholesale funding costs of the global systemically important banks?. (2021). Ma, Yihong ; Delpachitra, Sarath ; Yu, Xiao ; Cottrell, Simon. In: Journal of Banking & Finance. RePEc:eee:jbfina:v:132:y:2021:i:c:s0378426621001564. Full description at Econpapers || Download paper | |
2021 | Negative news and the stock market impact of tone in rating reports. (2021). Rieber, Alexander ; Norden, Lars ; Loffler, Gunter. In: Journal of Banking & Finance. RePEc:eee:jbfina:v:133:y:2021:i:c:s0378426621002120. Full description at Econpapers || Download paper | |
2021 | Learning sequential option hedging models from market data. (2021). Li, Yuying ; Coleman, Thomas F ; Nian, KE. In: Journal of Banking & Finance. RePEc:eee:jbfina:v:133:y:2021:i:c:s0378426621002338. Full description at Econpapers || Download paper | |
2021 | Model risk and model choice in the case of barrier options and bonus certificates. (2021). Shkel, David ; Baule, Rainer. In: Journal of Banking & Finance. RePEc:eee:jbfina:v:133:y:2021:i:c:s0378426621002594. Full description at Econpapers || Download paper | |
2022 | The CDS market reaction to loan renegotiation announcements. (2022). Sewaid, Ahmed ; Martin-Oliver, Alfredo ; Silaghi, Florina. In: Journal of Banking & Finance. RePEc:eee:jbfina:v:138:y:2022:i:c:s0378426622000310. Full description at Econpapers || Download paper | |
2021 | How do investors value corporate social responsibility? Market valuation and the firm specific contexts. (2021). Lu, Hao ; Chang, Young Kyun ; Kleffner, Anne ; Oh, Won-Yong. In: Journal of Business Research. RePEc:eee:jbrese:v:125:y:2021:i:c:p:14-25. Full description at Econpapers || Download paper | |
2021 | Reconstructing the yield curve. (2021). Wu, Jing Cynthia ; Liu, Yan. In: Journal of Financial Economics. RePEc:eee:jfinec:v:142:y:2021:i:3:p:1395-1425. Full description at Econpapers || Download paper | |
2021 | The relative pricing of sovereign credit risk after the Eurozone crisis. (2021). Ruggiero, Francesco ; Corvino, Raffaele. In: Journal of International Money and Finance. RePEc:eee:jimfin:v:112:y:2021:i:c:s026156062030293x. Full description at Econpapers || Download paper | |
2021 | Strategic credit sales to express retail under asymmetric default risk and stochastic market demand. (2021). Zhao, Ruiqing ; Ding, Peiqi ; Wang, Kai. In: Omega. RePEc:eee:jomega:v:101:y:2021:i:c:s0305048319302051. Full description at Econpapers || Download paper | |
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2021 | Do sovereign ratings cause instability in cross-border emerging CDS markets?. (2021). Gonzalez-Urteaga, Ana ; Ballester, Laura. In: International Review of Economics & Finance. RePEc:eee:reveco:v:72:y:2021:i:c:p:643-663. Full description at Econpapers || Download paper | |
2022 | Linkage dynamics of sovereign credit risk and financial markets: A bibliometric analysis. (2022). Singh, Vipul Kumar ; Kumar, Pawan ; Bajaj, Vimmy. In: Research in International Business and Finance. RePEc:eee:riibaf:v:59:y:2022:i:c:s0275531921001872. Full description at Econpapers || Download paper | |
2022 | Bank credit risk and macro-prudential policies: role of counter-cyclical capital buffer. (2022). Sousa, Ricardo ; Mallick, Sushanta K ; Kumar, Abhishek ; Benbouzid, Nadia ; Stojanovic, Aleksandar. In: LSE Research Online Documents on Economics. RePEc:ehl:lserod:117539. Full description at Econpapers || Download paper | |
2022 | Learning Forecast-Efficient Yield Curve Factor Decompositions with Neural Networks. (2022). Terada, Ana T ; Takada, Hellinton H ; Kauffmann, Piero C ; Stern, Julio M. In: Econometrics. RePEc:gam:jecnmx:v:10:y:2022:i:2:p:15-:d:780065. Full description at Econpapers || Download paper | |
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2021 | . Full description at Econpapers || Download paper | |
2022 | . Full description at Econpapers || Download paper | |
2022 | . Full description at Econpapers || Download paper | |
2022 | On the Deterministic-Shift Extended CIR Model in a Negative Interest Rate Framework. (2022). Kamm, Kevin ; di Francesco, Marco. In: IJFS. RePEc:gam:jijfss:v:10:y:2022:i:2:p:38-:d:820074. Full description at Econpapers || Download paper | |
2021 | How Much Do Negative Probabilities Matter in Option Pricing?: A Case of a Lattice-Based Approach for Stochastic Volatility Models. (2021). Chung, San-Lin ; Miao, Daniel Wei-Chung ; Tseng, Chung-Li ; Shih, Pai-Ta. In: JRFM. RePEc:gam:jjrfmx:v:14:y:2021:i:6:p:241-:d:565725. Full description at Econpapers || Download paper | |
2021 | . Full description at Econpapers || Download paper | |
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2021 | Investigating the Determinants of Credit Spread Using a Markov Regime-Switching Model: Evidence from Banks in Taiwan. (2021). Lee, Kuo-Jung ; Lu, Su-Lien. In: Sustainability. RePEc:gam:jsusta:v:13:y:2021:i:17:p:9535-:d:621039. Full description at Econpapers || Download paper | |
2022 | From Short-Term Risk to Long-Term Strategic Challenges: Reviewing the Consequences of Geopolitics and COVID-19 on Economic Performance. (2022). Desalegn, Goshu ; Tangl, Anita ; Fekete-Farkas, Maria. In: Sustainability. RePEc:gam:jsusta:v:14:y:2022:i:21:p:14455-:d:962712. Full description at Econpapers || Download paper | |
2022 | The Laplace transform of the integrated Volterra Wishart process. (2020). Jaber, Eduardo Abi. In: Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers). RePEc:hal:cesptp:hal-02367200. Full description at Econpapers || Download paper | |
2022 | The Laplace transform of the integrated Volterra Wishart process. (2021). Jaber, Eduardo Abi. In: Post-Print. RePEc:hal:journl:hal-02367200. Full description at Econpapers || Download paper | |
2022 | What Went Wrong? The Puerto Rican Debt Crisis, the Treasury Put, and the Failure of Market Discipline. (2022). Chirinko, Robert S. In: IMES Discussion Paper Series. RePEc:ime:imedps:22-e-03. Full description at Econpapers || Download paper | |
2021 | Modelos de la estructura de plazos de las tasas de interés: Revisión, tendencias y perspectivas. (2021). Venegas-MartÃnez, Francisco ; Venegas-Martinez, Francisco ; Vasicek, Oldrich Alfons. In: Remef - Revista Mexicana de Economía y Finanzas Nueva Época REMEF (The Mexican Journal of Economics and Finance). RePEc:imx:journl:v:16:y:2021:i:2:a:1. Full description at Econpapers || Download paper | |
2021 | Models of the Term Structure of Interest Rates: Review, Trends, and Perspectives. (2021). Venegas-MartÃnez, Francisco ; Venegas-Martinez, Francisco ; Vasicek, Oldrich Alfons. In: Remef - Revista Mexicana de Economía y Finanzas Nueva Época REMEF (The Mexican Journal of Economics and Finance). RePEc:imx:journl:v:16:y:2021:i:2:a:11. Full description at Econpapers || Download paper | |
2021 | Modelos de la estructura de plazos de las tasas de interés: Revisión, tendencias y perspectivas. (2021). Venegas-MartÃnez, Francisco ; Vasicek, Oldrich Alfons ; Venegas-Martinez, Francisco. In: Remef - Revista Mexicana de Economía y Finanzas Nueva Época REMEF (The Mexican Journal of Economics and Finance). RePEc:imx:journl:v:16:y:2021:i:2:p:1-28. Full description at Econpapers || Download paper | |
2021 | Ideal Investment Protection in Optimistic Perceptions: Evidence From the Indian Equity Options Market. (2021). Varghese, James ; Jose, Babu. In: International Journal of Financial Research. RePEc:jfr:ijfr11:v:12:y:2021:i:2:p:327-340. Full description at Econpapers || Download paper | |
2021 | Zero-Coupon Yield Curve Estimation with the Package termstrc. (2010). Ferstl, Robert ; Hayden, Josef . In: Journal of Statistical Software. RePEc:jss:jstsof:36:i01. Full description at Econpapers || Download paper | |
More than 100 citations found, this list is not complete... |
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2013 | Whole farm analysis versus activity gross margin analysis: a sheep farm example In: AFBM Journal. [Full Text][Citation analysis] | article | 1 |
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2012 | Ethical justification for conducting public health surveillance without patient consent In: American Journal of Public Health. [Full Text][Citation analysis] | article | 2 |
2014 | Breast cancer mortality among American Indian and Alaska native women, 1990û2009 In: American Journal of Public Health. [Full Text][Citation analysis] | article | 0 |
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2009 | Office markets and space usage - Charting the future for workplaces In: ERES. [Full Text][Citation analysis] | paper | 0 |
1988 | The Use of the Control Variate Technique in Option Pricing In: Journal of Financial and Quantitative Analysis. [Full Text][Citation analysis] | article | 34 |
1990 | Valuing Derivative Securities Using the Explicit Finite Difference Method In: Journal of Financial and Quantitative Analysis. [Full Text][Citation analysis] | article | 82 |
1993 | One-Factor Interest-Rate Models and the Valuation of Interest-Rate Derivative Securities In: Journal of Financial and Quantitative Analysis. [Full Text][Citation analysis] | article | 128 |
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1995 | The impact of default risk on the prices of options and other derivative securities In: Journal of Banking & Finance. [Full Text][Citation analysis] | article | 98 |
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2015 | A generalized procedure for building trees for the short rate and its application to determining market implied volatility functions In: Quantitative Finance. [Full Text][Citation analysis] | article | 1 |
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