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A Direct Approach to Arbitrage-Free Pricing of Derivatives. (1998). Das, Sanjiv ; Sundaram, Rangarajan K..
In: New York University, Leonard N. Stern School Finance Department Working Paper Seires.
RePEc:fth:nystfi:99-013.

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  1. US Corporate Default Swap Valuation: The Market Liquidity Hypothesis and Autonomous Credit Risk. (2007). Dunbar, Kwamie.
    In: Working papers.
    RePEc:uct:uconnp:2007-08.

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  2. On pricing of credit spread options. (2005). Teocchi, Mariangela ; Giacometti, Rosella.
    In: European Journal of Operational Research.
    RePEc:eee:ejores:v:163:y:2005:i:1:p:52-64.

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  3. The Determinants of Credit Default Swap Premia. (2004). Ericsson, Jan ; Jacobs, Kris ; Oviedo-Helfenberger, Rodolfo.
    In: SIFR Research Report Series.
    RePEc:hhs:sifrwp:0032.

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  4. Risikoadjustierte Performance von Private Equity-Investitionen. (2004). Groh, Alexander.
    In: Publications of Darmstadt Technical University, Institute for Business Studies (BWL).
    RePEc:dar:wpaper:21382.

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  5. The Determinants of Credit Default Swap Premia. (2004). Ericsson, Jan ; Jacobs, Kris ; Oviedo, Rodolfo A..
    In: CIRANO Working Papers.
    RePEc:cir:cirwor:2004s-55.

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  6. An empirical analysis of the dynamic relationship between investment-grade bonds and credit default swaps. (2004). Marsh, Ian ; Blanco, Roberto .
    In: Bank of England working papers.
    RePEc:boe:boeewp:211.

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References

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  2. Corporate Credit Risk Premia. (2018). Ferguson, Mark ; Duffie, Darrell ; Douglas, Rohan ; Berndt, Antje.
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  3. Investing in Real Estate Debt: Is it Real Estate or Fixed Income?. (2017). Spek, Maarten.
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  4. Time to change. Rating changes and policy implications. (2011). Posch, Peter.
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  5. The term structure of banking crisis risk in the United States: A market data based compound option approach. (2011). Eichler, Stefan ; Karmann, Alexander ; Maltritz, Dominik .
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  6. Deriving the term structure of banking crisis risk with a compound option approach: The case of Kazakhstan. (2010). Eichler, Stefan ; Karmann, Alexander ; Maltritz, Dominik .
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  7. Does debt structure matter? Estimating contractor default barrier by the down-and-out call option approach. (2010). Lin, Wei ; Huang, Yu-Lin .
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  9. A compound option approach to model the interrelation between banking crises and country defaults: The case of Hungary 2008. (2010). Maltritz, Dominik .
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  11. Linking credit risk premia to the equity premium. (2008). Kaserer, Christoph ; Berg, Tobias.
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  12. The pricing of conditional performance guarantees with risky collateral. (2008). Huang, Yu-Lin .
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  13. Modelling the dependency between currency and debt crises: An option based approach. (2008). Maltritz, Dominik .
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  14. An empirical study of corporate bond pricing with unobserved capital structure dynamics.. (2007). Maclachlan, Iain C.
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  15. Expected Default Probabilities in Structural Models: Empirical Evidence. (2007). Pereira, Ricardo ; Patel, Kanak .
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  16. A simple continuous measure of credit risk. (2007). Byström, Hans ; Bystrom, Hans ; Kwon, Oh Kang ; Oh Kang Kwon, .
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  17. Inefficient markets and credit risk modeling: Why Mertons model failed. (2006). Majumder, Debasish .
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  18. From default probabilities to credit spreads: Credit risk models do explain market prices. (2006). Dacorogna, Michel ; McNeil, Alexander J. ; Muller, Ulrich A. ; Denzler, Stefan M..
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  19. Default Risk, Firms Characteristics, and Risk Shifting. (2005). Fang, Ming ; Zhong, Rui.
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  20. Measuring default risk premia from default swap rates and EDFs. (2005). Duffie, Darrell ; Berndt, Antje ; Douglas, Rohan ; Ferguson, Mark ; Schranz, David .
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  24. Sovereign risk in a structural approach: Evaluating sovereign ability-to-pay and probability of default. (2003). Karmann, Alexander ; Maltritz, Dominik .
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  34. A Direct Approach to Arbitrage-Free Pricing of Derivatives. (1998). Das, Sanjiv ; Sundaram, Rangarajan K..
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