Selim Gökay

Technische Universität Berlin (TU Berlin)

Straße des 17

Juni 135

Berlin, 10623

Germany

SCHOLARLY PAPERS

2

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45

CITATIONS

3

Scholarly Papers (2)

Endogenous Trading in Credit Default Swaps

Number of pages: 31 Posted: 14 Jul 2016
Marc Chesney, Delia Coculescu and Selim Gökay
University of Zurich - Department of Banking and Finance, University of Zurich - Department of Banking and Finance and Technische Universität Berlin (TU Berlin)
Downloads 43 (419,054)

Abstract:

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CDS, moral hazard, real options, switching option, default risk, optimal stopping problems, Longstaff-Schwarz algorithm

Endogenous Trading in Credit Default Swaps

Posted: 23 Jun 2016
Marc Chesney, Delia Coculescu and Selim Gökay
University of Zurich - Department of Banking and Finance, University of Zurich - Department of Banking and Finance and Technische Universität Berlin (TU Berlin)

Abstract:

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CDS, moral hazard, real options, switching option, default risk, optimal stopping problems, Longstaff-Schwarz algorithm

2.

Liquidity in a Binomial Market

Mathematical Finance, Vol. 22, Issue 2, pp. 250-276, 2012
Number of pages: 27 Posted: 11 Feb 2012
Selim Gökay and Halil Mete Soner
Technische Universität Berlin (TU Berlin) and ETH Zürich
Downloads 2 (636,413)
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super‐replication, liquidity, binomial model, dynamic programming