Selim Gökay

Technische Universität Berlin (TU Berlin)

Straße des 17

Juni 135

Berlin, 10623

Germany

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Scholarly Papers (1)

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 81 (565,088)

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