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Structural credit risk modelling with Hawkes jump diffusion processes
3 个回复 - 804 次查看【作者(必填)】YongMaa[/backcolor]WeidongXub[/backcolor] 【文题(必填)】 Structural credit risk modelling with Hawkes jump diffusion processes【年份(必填)】2016 【全文链接或数据库名称(选填)】http ...2020-6-7 16:18 - ssylzz - 求助成功区

Jump risk premia across major international equity markets
1 个回复 - 420 次查看【作者(必填)】 23 【文题(必填)】 Jump risk premia across major international equity markets【年份(必填)】 23 【全文链接或数据库名称(选填)】https://www.sciencedirect.com/science/article/abs/pii/S0 ...2019-5-30 21:16 - internet.hzx - 求助成功区

A Jump and Smile Ride: Jump and Variance Risk Premia in Option Pricing
2 个回复 - 696 次查看【作者(必填)】Dario Alitab Giacomo Bormetti Fulvio Corsi Adam A Majewski 【文题(必填)】A Jump and Smile Ride: Jump and Variance Risk Premia in Option Pricing 【年份(必填)】2019 【全文链接或数据 ...2019-5-19 20:23 - hnhs100 - 求助成功区

求助RFS论文一篇：Variance Risk-Premium Dynamics: The Role of Jumps
1 个回复 - 350 次查看【作者(必填)】Viktor Todorov 【文题(必填)】Variance Risk-Premium Dynamics: The Role of Jumps 【年份(必填)】2010 【全文链接或数据库名称(选填)】https://academic.oup.com/rfs/article-abstract/23/1/ ...2019-5-10 14:24 - cooper56 - 求助成功区

Dynamic Jump Intensities and Risk Premiums in Crude Oil Futures and Options Mark
1 个回复 - 625 次查看【作者(必填)】Peter Christoffersen, Kris Jacobs and Bingxin Li 【文题(必填)】Dynamic Jump Intensities and Risk Premiums in Crude Oil Futures and Options Markets 【年份(必填)】2016 【全文链接或数 ...2018-8-11 17:04 - hnhs100 - 求助成功区

The Valuation of Power Exchange Options with Counterparty Risk and Jump Risk
1 个回复 - 457 次查看【作者(必填)】Xingchun Wang, Shiyu Song, Yongjin Wang 【文题(必填)】The Valuation of Power Exchange Options with Counterparty Risk and Jump Risk 【年份(必填)】2017 【全文链接或数据库名称(选填 ...2018-1-30 11:12 - ssylzz - 求助成功区

Pricing black-scholes options with correlated credit risk and jump risk
5 个回复 - 951 次查看【作者(必填)】Weidong Xu, Weijun Xu & Weilin Xiao 【文题(必填)】Pricing black-scholes options with correlated credit risk and jump risk 【年份(必填)】2015 【全文链接或数据库名称(选填)】http:/ ...2015-6-1 13:41 - lipj - 求助成功区

Pricing black-scholes options with correlated credit risk and jump risk
9 个回复 - 1112 次查看【作者(必填)】 Weidong Xu, Weijun Xu & Weilin Xiao 【文题(必填)】 Pricing black-scholes options with correlated credit risk and jump risk 【年份(必填)】 2015 【全文链接或数据库名称(选填)】 http ...2016-5-14 14:40 - feiyufans - 求助成功区

Risk, jumps, and diversification
1 个回复 - 684 次查看【作者(必填)】 [*]Tim Bollersleva, 1, , [*]Tzuo Hann Lawb, , [*]George Tauchena, 【文题(必填)】 Risk, jumps, and diversification【年份(必填)】 2008 【全文链接或数据库名称(选填)】http://www.sc ...2015-12-10 00:04 - internet.hzx - 求助成功区

The explanatory power of signed jumps for the risk-return tradeoff
1 个回复 - 969 次查看【作者(必填)】【文题(必填)】 The explanatory power of signed jumps for the risk-return tradeoffB Sévi, C Baena - Economics Bulletin, 2013 - ideas.repec.org 【年份(必填)】【全文链接或数据库名 ...2015-1-29 21:11 - 金融坦然 - 求助成功区

Exact solutions for bond and option prices with systematic jump risk
1 个回复 - 427 次查看【作者(必填)】【文题(必填)】Exact solutions for bond and option prices with systematic jump risk 【年份(必填)】 1996 【全文链接或数据库名称(选填)】https://link.springer.com/article/10.1007/BF01 ...2020-4-13 12:22 - ssylzz - 求助成功区

Pricing Vulnerable Options with Correlated Credit Risk Under Jump-Diffusion
3 个回复 - 978 次查看【作者(必填)】Lihui Tian, Guanying Wang, Xingchun Wang and Yongjin Wang 【文题(必填)】Pricing Vulnerable Options with Correlated Credit Risk Under Jump-Diffusion Processes 【年份(必填)】2013 ...2015-6-2 12:28 - lipj - 求助成功区

正式版Pricing Path-Dependent Options with Jump Risk via Laplace Transforms
1 个回复 - 1010 次查看【作者(必填)】【文题(必填)】Pricing Path-Dependent Options with Jump Risk via Laplace Transforms 【年份(必填)】【全文链接或数据库名称(选填)】https://www.jstage.jst.go.jp/article/ker/74/1/74_1 ...2015-1-6 01:37 - ssylzz - 求助成功区

Hedging for multi-period downside risk in the presence of jump dynamics and con
1 个回复 - 1154 次查看【作者(必填)】【文题(必填)】 Hedging for multi-period downside[/backcolor] risk[/backcolor] in the presence of jump dynamics and conditional heteroskedasticity [/backcolor] 作者: Lee, Ming-Chih ...2014-7-9 10:07 - 金融坦然 - 求助成功区

Jump liquidity risk and its impact on CVaR
1 个回复 - 2298 次查看 2014-3-9 10:12 - xuehe - Gauss专版

Structural Approach of Credit Risk with Jump Diffusion Process: Credit Risk Mode
2 个回复 - 1007 次查看【作者(必填)】 Thanh Binh DAO 【文题(必填)】Structural Approach of Credit Risk with Jump Diffusion Process: Credit Risk Models & Application 【年份(必填)】July 6, 2011 【全文链接或数据库名称(选 ...2013-12-6 16:23 - johnzi0128 - 文献求助专区

On the conditional default probability in a regulated market with jump risks
1 个回复 - 830 次查看【作者(必填)】Lijun Boa, Xindan Lib, Yongjin Wangcd & Xuewei Yangb* 【文题(必填)】On the conditional default probability in a regulated market with jump risks 【年份(必填)】24 Jul 2013 【全 ...2013-10-30 12:42 - ssylzz - 求助成功区

The jump-risk premia implicit in options
2 个回复 - 1508 次查看【作者(必填)】Jun Pan 【文题(必填)】The jump-risk premia implicit in options: evidence from an integrated time-series study ☆ 【年份(必填)】2002 【全文链接或数据库名称(选填)】http://www.scie ...2013-3-23 11:20 - hnhs100 - 求助成功区

Dynamic jump intensities and risk premiums
1 个回复 - 972 次查看【作者(必填)】 [*]Peter Christoffersena, b, [*]Kris Jacobsc, d, , , [*]Chayawat Ornthanalaia 【文题(必填)】Dynamic jump intensities and risk premiums: Evidence from S&P500 returns and options ...2013-3-3 08:58 - hnhs100 - 求助成功区

Time‐varying jump risk premia in stock index futures returns
1 个回复 - 1018 次查看【作者(必填)】 Wing Hong Chan1,2,*, [*]Liling Feng2 【文题(必填)】Time‐varying jump risk premia in stock index futures returns 【年份(必填)】Article first published online: 8 JUL 2011【全文链 ...2012-10-15 10:47 - 杨万弟 - 求助成功区

Bond Risk Premia and Realized Jump Risk
0 个回复 - 1477 次查看 Bond Risk Premia and Realized Jump Risk2009-12-18 22:16 - fushengbin - 论文版

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