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Bronx, NY 10458
United States
Fordham University - Gabelli School of Business
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Credit default swap, credit risk, credit premium, term structure, interest rate risk, liquidity risk, liquidity premium, maximum likelihood estimation.
Structural credit risk models, Financial crisis, Risk management, Lehman Brothers, Default probability, Liquidity
CIR term structure model of interest rates, TIPS, Unscented Kalman Filter, Inflation Risk Premium
Credit risk modeling, Credit spread bounds
options, implied volatility, volatility smile, nonparametric model
Stochastic Volatility, Jumps, Interest Rates, International
multi-period agency problem, compound options, bankruptcy, sinking funds
American Option, Monte Carlo, PSO
liquidity discounts, liquidity index, asset liquidity, systemic risk
carry cost rate, hedge ratio
Constant-Elasticity-of-Variance (CEV) Process, Option Pricing Model, Empirical Performance, Numerical Experiment
interest rates, term structure, Kalman filter