Document Search Results

Kallsen, Jan (ed.) et al., Advanced modeling in mathematical finance. In honour of Ernst Eberlein on the occasion of his 70th birthday, Kiel, Germany, May 22–25, 2015. Cham: Springer (ISBN 978-3-319-45873-1/hbk; 978-3-319-45875-5/ebook). Springer Proceedings in Mathematics & Statistics 189, 167-187 (2016).

MSC: 91G40

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Hurd, T. R.; Cellai, Davide; Melnik, Sergey; Shao, Quentin H.

Double cascade model of financial crises. (English) Zbl 1396.91795

Int. J. Theor. Appl. Finance 19, No. 5, Article ID 1650041, 27 p. (2016).

MSC: 91G50 05C80

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Nauta, Bert-Jan

Liquidity risk, instead of funding costs, leads to a valuation adjustment for derivatives and other assets. (English) Zbl 1337.91108

Int. J. Theor. Appl. Finance 18, No. 2, Article ID 1550014, 30 p. (2015).

MSC: 91G20

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Petersen, M. A.; De Waal, B.; Mukuddem-Petersen, J.; Mulaudzi, M. P.

Subprime mortgage funding and liquidity risk. (English) Zbl 1294.91080

Quant. Finance 14, No. 3, 545-555 (2014).

MSC: 91B30 91G40

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Papin, Timothee; Turinici, Gabriel

Prepayment option of a perpetual corporate loan: the impact of the funding costs. (English) Zbl 1304.91236

Int. J. Theor. Appl. Finance 17, No. 4, Article ID 1450028, 32 p. (2014).

MSC: 91G50 91G20 60J28 91G30 91G60 91G80 93E20

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Hui, Cho-Hoi; Chung, Tsz-Kin; Lo, Chi-Fai

Using interest rate derivative prices to estimate LIBOR-OIS spread dynamics and systemic funding liquidity shock probabilities. (English) Zbl 1270.91095

Asia-Pac. Financ. Mark. 20, No. 2, 131-146 (2013).

MSC: 91G20 91B82 60H30

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Found 16 Documents (Results 1–16)

Systemic cascades on inhomogeneous random financial networks. (English) Zbl 1508.91598

Shareholder disputes and commonality in liquidity: evidence from the equity markets in China. (English) Zbl 1497.91302

Dynamic leveraging-deleveraging games. (English) Zbl 1455.91266

Impact of multiple curve dynamics in credit valuation adjustments under collateralization. (English) Zbl 1469.91058

An empirical investigation on funding liquidity and market liquidity. (English) Zbl 1402.91767

Bank panics and fire sales, insolvency and illiquidity. (English) Zbl 1416.91415

Optimal cash holdings under heterogeneous beliefs. (English) Zbl 1390.91319

Rollover risk and credit risk under time-varying margin. (English) Zbl 1402.91848

Impact of multiple curve dynamics in credit valuation adjustments under collateralization. (English) Zbl 1400.91579

Sovereign risk, bank funding and investors’ pessimism. (English) Zbl 1401.91359

Collateralized borrowing and default risk. (English) Zbl 1367.91188

Double cascade model of financial crises. (English) Zbl 1396.91795

Liquidity risk, instead of funding costs, leads to a valuation adjustment for derivatives and other assets. (English) Zbl 1337.91108

Subprime mortgage funding and liquidity risk. (English) Zbl 1294.91080

Prepayment option of a perpetual corporate loan: the impact of the funding costs. (English) Zbl 1304.91236

Using interest rate derivative prices to estimate LIBOR-OIS spread dynamics and systemic funding liquidity shock probabilities. (English) Zbl 1270.91095

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