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Theory and Evidence on the Dynamic Interactions between Sovereign Credit Default Swaps and Currency Options
16 references·1 citing·29 second hop
Theory and Evidence on the Dynamic Interactions between Sovereign Credit Default Swaps and Currency Options (2005)Theory and Evidence on the Dynamic Intera…How Much of the Corporate-Treasury Yield Spread Is Due to Credit Risk? (2012)How Much of the Corporate-Tre…The Determinants of Credit Default Swap Premia (2009)The Determinants of Credit De…The cost of capital, corporation finance and the theory of investment (2008)The cost of capital, corporat…The Link between Default and Recovery Rates: Theory, Empirical Evidence, and Implications* (2005)The Link between Default and …Structural Models of Corporate Bond Pricing: An Empirical Analysis (2004)Structural Models of Corporat…Time-changed Lévy processes and option pricing (2003)Time-changed Lévy processes a…Ratings migration and the business cycle, with application to credit portfolio stress testing (2002)Ratings migration and the bus…The Determinants of Credit Spread Changes (2001)The Determinants of Credit Sp…Explaining the Rate Spread on Corporate Bonds (2001)Explaining the Rate Spread on…Transform Analysis and Asset Pricing for Affine Jump-diffusions (2000)Transform Analysis and Asset …Transform Analysis and Asset Pricing for Affine Jump-Diffusions (1999)Transform Analysis and Asset …Jumps and Stochastic Volatility: Exchange Rate Processes Implicit in Deutsche Mark Options (1996)Jumps and Stochastic Volatili…A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options (1993)A Closed-Form Solution for Op…The pricing of commodity contracts (1976)The pricing of commodity cont…The Pricing of Options and Corporate Liabilities (1973)The Pricing of Options and Co…The Cost of Capital, Corporation Finance and the Theory of Investment (1958)The Cost of Capital, Corporat…Premia for Correlated Default Risk (2008)Premia for Correlated Default…Theory of Rational Option Pricing (1973)THE VALUE OF AN OPTION TO EXCHANGE ONE ASSET FOR ANOTHER (1978)Pricing Interest-Rate-Derivative Securities (1990)A Jump-Diffusion Model for Option Pricing (2002)Theory of rational option pricing (2005)A Theory of the Term Structure of Interest Rates (1985)Empirical Performance of Alternative Option Pricing Models (1997)The Cross‐Section of Volatility and Expected Returns (2006)CAPITAL ASSET PRICES: A THEORY OF MARKET EQUILIBRIUM UNDER CONDITIONS OF RISK* (1964)Theory of the firm: Managerial behavior, agency costs and ownership structure (1976)DISTRIBUTION OF INCOMES OF CORPORATIONS AMONG DIVIDENDS, RETAINED EARNINGS AND TAXES (1956)Law and Finance (1998)ON THE PRICING OF CORPORATE DEBT: THE RISK STRUCTURE OF INTEREST RATES* (1974)Common risk factors in the returns on stocks and bonds (1993)Equity Volatility and Corporate Bond Yields (2003)Corporate Yield Spreads and Bond Liquidity (2007)An equilibrium characterization of the term structure (1977)Non-Gaussian Ornstein–Uhlenbeck-based Models and Some of Their Uses in Financial Economics (2001)Option pricing when underlying stock returns are discontinuous (1976)The Variance Gamma Process and Option Pricing (1998)Option valuation using the fast Fourier transform (1999)The Impact of Jumps in Volatility and Returns (2003)The Capital Structure Puzzle (1984)A Survey of Corporate Governance (1997)Prospect Theory and Asset Prices (2001)Corporate Yield Spreads: Default Risk or Liquidity? New Evidence from the Credit Default Swap Market (2004)Credit Spreads and Business Cycle Fluctuations (2012)Liquidity and Asset Prices (2006)The Illiquidity of Corporate Bonds (2011)
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References

  • 1973The Pricing of Options and Corporate Liabilities29,064 cited
  • 1958The Cost of Capital, Corporation Finance and the Theory of Investment14,494 cited
  • 1993A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options8,768 cited
  • 2008The cost of capital, corporation finance and the theory of investment8,614 cited
  • 1976The pricing of commodity contracts2,859 cited
  • 2000Transform Analysis and Asset Pricing for Affine Jump-diffusions2,789 cited
  • 1996Jumps and Stochastic Volatility: Exchange Rate Processes Implicit in Deutsche Mark Options2,272 cited
  • 2001The Determinants of Credit Spread Changes2,253 cited
  • 2001Explaining the Rate Spread on Corporate Bonds1,580 cited
  • 2012How Much of the Corporate-Treasury Yield Spread Is Due to Credit Risk?1,000 cited
  • 2004Structural Models of Corporate Bond Pricing: An Empirical Analysis926 cited
  • 2005The Link between Default and Recovery Rates: Theory, Empirical Evidence, and Implications*759 cited
  • 2003Time-changed Lévy processes and option pricing674 cited
  • 2009The Determinants of Credit Default Swap Premia663 cited
  • 1999Transform Analysis and Asset Pricing for Affine Jump-Diffusions

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598 cited
  • 2002Ratings migration and the business cycle, with application to credit portfolio stress testing509 cited
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    • 2008Premia for Correlated Default Risk22 cited