| |
Author  |
Title |
Year |
Publication |
Volume |
Pages |
Links |
|
|
Bianchetti, Marco |
Two Curves, One Price: Pricing & Hedging Interest Rate Derivatives, Decoupling Discounting and Forwarding Yield Curves |
2009 |
Banca Intesa Sanpaolo |
|
|
|
|
|
Bortz, Ward; Rosenberg, Jeffrey A. |
The Big Bang: A Guide to the Standardized CDS Contract |
2009 |
Bank of America-Merrill Lynch Research |
|
|
|
|
|
Carr, Peter; Laurence, Peter |
Multi-asset Stochastic Local Variance Contracts |
2009 |
New York University |
|
|
|
|
|
Ech-Chatbi, Charaf |
Geometrical Loss Model |
2009 |
|
|
|
|
|
|
Hull, John |
Convexity Adjustments to Eurodollar Futures |
2009 |
Options, Futures, and Other Derivatives |
7 |
|
|
|
|
Hull, John; White, Alan |
An Improved Implied Copula Model and its Application to the Valuation of Bespoke CDO Tranches |
2009 |
University of Toronto |
|
|
|
|
|
Li, Yadong |
A Dynamic Correlation Modelling Framework with Consistent Stochastic Recovery |
2009 |
Barclays Capital Research |
|
|
|
