No-Arbitrage Approach to Pricing Credit Spread Derivatives

The Journal of Derivatives ◽

10.3905/jod.2003.319201 ◽

2003 ◽

Vol 10 (3) ◽

pp. 51-64 ◽

Cited By ~ 7

Author(s):

Chi Chiu Chu ◽

Yue Kuen Kwok

Keyword(s):

Credit Spread ◽

No Arbitrage

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A No-Arbitrage Analysis of Macroeconomic Determinants of the Credit Spread Term Structure

Management Science ◽

10.1287/mnsc.1070.0835 ◽

2008 ◽

Vol 54 (6) ◽

pp. 1160-1175 ◽

Cited By ~ 43

Author(s):

Liuren Wu ◽

Frank Xiaoling Zhang

Keyword(s):

Term Structure ◽

Credit Spread ◽

No Arbitrage ◽

Macroeconomic Determinants

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A No-Arbitrage Analysis of Economic Determinants of the Credit Spread Term Structure

Finance and Economics Discussion Series ◽

10.17016/feds.2005.59 ◽

2005 ◽

Vol 2005 (59) ◽

pp. 1-48 ◽

Cited By ~ 2

Author(s):

Liuren Wu ◽

◽

Frank X. Zhang

Keyword(s):

Term Structure ◽

Credit Spread ◽

Economic Determinants ◽

No Arbitrage

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No arbitrage approach for pricing credit spread derivatives

10.14711/thesis-b776194 ◽

2002 ◽

Author(s):

Chi Chiu Chu

Keyword(s):

Credit Spread ◽

No Arbitrage

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No-arbitrage determinants of credit spread curves under the unconventional monetary policy regime in Japan

Journal of International Financial Markets Institutions and Money ◽

10.1016/j.intfin.2019.101143 ◽

2020 ◽

Vol 64 ◽

pp. 101143

Author(s):

Tatsuyoshi Okimoto ◽

Sumiko Takaoka

Keyword(s):

Monetary Policy ◽

Credit Spread ◽

Unconventional Monetary Policy ◽

Policy Regime ◽

No Arbitrage

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The adjustment of housing prices towards the no-arbitrage relationship

10.15396/eres2011_93 ◽

2011 ◽

Keyword(s):

Housing Prices ◽

No Arbitrage

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A simple approximation for the no-arbitrage drifts in Libor market model–SABR-family interest-rate models

The Journal of Computational Finance ◽

10.21314/jcf.2015.305 ◽

2015 ◽

Vol 19 (1) ◽

pp. 1-10 ◽

Cited By ~ 1

Author(s):

Riccardo Rebonato

Keyword(s):

Interest Rate ◽

Market Model ◽

Simple Approximation ◽

Interest Rate Models ◽

No Arbitrage ◽

Libor Market Model

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Credit Spread Widening Risk in Portfolios: Pricing Techniques and Sensitivity Measures

SSRN Electronic Journal ◽

10.2139/ssrn.1088965 ◽

2007 ◽

Author(s):

Aldo Letizia

Keyword(s):

Credit Spread

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A No-Arbitrage Structural Vector Autoregressive Model of the UK Yield Curve

SSRN Electronic Journal ◽

10.2139/ssrn.1319280 ◽

2008 ◽

Cited By ~ 3

Author(s):

Iryna Kaminska

Keyword(s):

Autoregressive Model ◽

Yield Curve ◽

Vector Autoregressive Model ◽

Vector Autoregressive ◽

No Arbitrage ◽

Structural Vector Autoregressive Model ◽

The Uk ◽

Structural Vector

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Leverage Choice and Credit Spread Dynamics When Managers Risk Shift

SSRN Electronic Journal ◽

10.2139/ssrn.1343725 ◽

2009 ◽

Cited By ~ 1

Author(s):

Murray D. Carlson ◽

Ali Lazrak

Keyword(s):

Credit Spread ◽

Spread Dynamics

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The Equity-Smile and Credit-Spread Puzzles: Are They One and the Same?

SSRN Electronic Journal ◽

10.2139/ssrn.1568734 ◽

2010 ◽

Cited By ~ 2

Author(s):

Gordon Gemmill ◽

Yiran Yang

Keyword(s):

Credit Spread

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