A model-insensitive determination of First-hitting-time densities with Application to Equity default-swaps [PDF]
arXiv, 2010 Equity default-swaps pay the holder a fixed amount of money when the underlying spot level touches a (far-down) barrier during the life of the instrument. While most pricing models give reasonable results when the barrier lies within the range of liquidly traded strikes of plain-vanilla option prices, the situation is more involved for extremely out-of-
arxiv
Exchange rate changes on export volumes in South Africa under the inflation targeting period. [PDF]
SN Bus Econ, 2022 Ndou E.
europepmc +1 more source
Explaining Credit Default Swap Spreads With the Equity Volatility and Jump Risks of Individual Firms [PDF]
, 2008 Benjamin Yi-Bin Zhang +2 more
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When Elon Musk Changes his Tone, Does Bitcoin Adjust Its Tune? [PDF]
Comput Econ, 2022 Huynh TLD.
europepmc +1 more source
Artificial neural network (ANN)-based estimation of the influence of COVID-19 pandemic on dynamic and emerging financial markets. [PDF]
Technol Forecast Soc Change, 2023 Naveed HM +5 more
europepmc +1 more source
, 2019 From SA-CCR to RSA-CCR: making SA-CCR self-consistent and appropriately risk-sensitive by cashflow decomposition in a 3-Factor Gaussian Market ModelComment: 20 pages, 13 ...
Berrahoui, Mourad +2 more
core
Emerging Market Yield Spreads: Domestic, External Determinants, and Volatility Spillovers [PDF]
This study examines the determinants of bond yield spreads for 22 emerging markets in the period 1998-2009. In addition to the usual EMBI index data from credit default swaps (CDS) are also used.
Pierre L. Siklos
core
Market co-movement between credit default swap curves and option volatility surfaces [PDF]
, 2022 Yukun Shi +3 more
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Multiscale stochastic volatility for variance swaps with constant elasticity of variance [PDF]
, 2022 Ji-Su Yu, JeongâHoon Kim
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