10900 Euclid Ave.
Cleveland, OH 44106-7235
Case Western Reserve University - Department of Banking & Finance
in Total Papers Downloads
in Total Papers Citations
Hedge funds, Value-at-Risk, Capital adequacy, Extreme value theory, Monte Carlo simulation.
Syndicated loans, Loan secondary market, Bank credit, Moral hazard, Adverse selection
Interest rate options, interest rate caps/floors, term structure of interest rates, hedging
Liquidity, interest rate options, euro interest rate markets, Euribor market, OTC options markets
Interest rate options, interest rate caps/floors, term structure of interest rates
Interest Rate Derivatives, Swaptions, Volatility Structures, Pricing, Hedging
Syndicated loans, loan secondary market, loan pricing, liquidity, loan trading
Volatility smiles, interest rate options, euro interest rate markets, Euribor market
Interest Rate Derivatives, Swaptions, Delta and Gamma Neutral Hedging, Unspanned Stochastic Volatility, Spanning
Volatility smiles, liquidity, interest rate options, euro interestrate markets, Euribor market
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