5 search results - page 1 / 1 » A Unified Framework for Pricing Credit and Equity Derivative... |
CORR
2007
Springer
15 years 4 days ago
2007
Springer
We propose a model which can be jointly calibrated to the corporate bond term structure and equity option volatility surface of the same company. Our purpose is to obtain explicit...
82
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FS
2006
15 years 5 days ago
2006
We develop a
AMC
2005
15 years 2 days ago
2005
In most public companies in China, there are two thirds of shares that cannot be traded freely in the secondary market. These illiquid shares, however, may be allowed to circulate...
83
Voted
FS
2006
15 years 5 days ago
2006
We introduce a general approach to model a joint market of stock price and a term structure of variance swaps in an HJM-type framework. In such a model, strongly volatility-depend...
109
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GIS
2000
ACM
14 years 12 months ago
2000
ACM
Spatialapplications must managepartwhole (PW) relationships between spatial objects, for example, the division of an administrative region into zones based on land use. Support fo...