Advanced Search

License Type

Rights Holder

Asset Type

Subtype

Add additional filters to further refine your search

Add filter

Display Sensitive Materials

Journal Article Title

Search Results

Displaying assets from 1 to 30 out of 10

/assets?dynamic_filters%5Barticle_title%5D=Pricing+and+integration+of+credit+default+swap+index+tranches&template=grid

- Identifier
- fut22082-tbl-0006
- License Type
- Rights Managed
- Rights Holder
- John Wiley & Sons, Inc.
Description Hedging the collateralized debt obligation (CDO) tranches with the Fama–French factors
Article Title: Pricing and integration of credit default swap index tranches
Publication Title: Journal of Futures Markets

Add to Cart
- Identifier
- fut22082-tbl-0002
- License Type
- Rights Managed
- Rights Holder
- John Wiley & Sons, Inc.
Description Parameter estimates
Article Title: Pricing and integration of credit default swap index tranches
Publication Title: Journal of Futures Markets

Add to Cart
- Identifier
- fut22082-tbl-0007
- License Type
- Rights Managed
- Rights Holder
- John Wiley & Sons, Inc.
Description Hedging the collateralized debt obligation (CDO) tranches with factors from equity and derivatives markets
Article Title: Pricing and integration of credit default swap index tranches
Publication Title: Journal of Futures Markets

Add to Cart
- Identifier
- fut22082-fig-0001
- License Type
- Rights Managed
- Rights Holder
- John Wiley & Sons, Inc.
Description Intensity factor processes. For each of the three factors, the solid (red) line is the median of the simulated intensity processes, with the lower and upper dashed (blue) lines as the 1st and 99th...
Article Title: Pricing and integration of credit default swap index tranches
Publication Title: Journal of Futures Markets

Add to Cart
- Identifier
- fut22082-fig-0002
- License Type
- Rights Managed
- Rights Holder
- John Wiley & Sons, Inc.
Description Time series of actual and fitted credit default swap index (CDX) tranche spreads. The solid (red) lines are the historical CDX tranche spreads traded in the market. The three dashed (black) lines...
Article Title: Pricing and integration of credit default swap index tranches
Publication Title: Journal of Futures Markets

Add to Cart
- Identifier
- fut22082-tbl-0005
- License Type
- Rights Managed
- Rights Holder
- John Wiley & Sons, Inc.
Description Hedging the collateralized debt obligation (CDO) tranches with the S&P 500 index options
Article Title: Pricing and integration of credit default swap index tranches
Publication Title: Journal of Futures Markets

Add to Cart
- Identifier
- fut22082-fig-0003
- License Type
- Rights Managed
- Rights Holder
- John Wiley & Sons, Inc.
Description Cumulative price innovations of the collateralized debt obligation (CDO) factors. The cumulative price innovations of the credit default swap index tranche portfolios representing the three CDO...
Article Title: Pricing and integration of credit default swap index tranches
Publication Title: Journal of Futures Markets

Add to Cart
- Identifier
- fut22082-tbl-0001
- License Type
- Rights Managed
- Rights Holder
- John Wiley & Sons, Inc.
Description Summary statistics for the credit default swap index (CDX) index and index tranche spreads
Article Title: Pricing and integration of credit default swap index tranches
Publication Title: Journal of Futures Markets

Add to Cart
- Identifier
- fut22082-tbl-0004
- License Type
- Rights Managed
- Rights Holder
- John Wiley & Sons, Inc.
Description Summary statistics and diagnostic tests on the option portfolio factors
Article Title: Pricing and integration of credit default swap index tranches
Publication Title: Journal of Futures Markets

Add to Cart
- Identifier
- fut22082-tbl-0003
- License Type
- Rights Managed
- Rights Holder
- John Wiley & Sons, Inc.
Description Summary statistics and diagnostic test of collateralized debt obligation (CDO) portfolio factors
Article Title: Pricing and integration of credit default swap index tranches
Publication Title: Journal of Futures Markets

Add to Cart