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Alan White

Not to be confused with: Alan D. White

Citations

Many of the citations below have been collected in an experimental project, CitEc, where a more detailed citation analysis can be found. These are citations from works listed in RePEc that could be analyzed mechanically. So far, only a minority of all works could be analyzed. See under "Corrections" how you can help improve the citation analysis.

Working papers

  1. Maloney, Thomas R. & Gruttadaurio, Joann & Nelson, Walter & Park, Kristen & Petzen, Joan & White, Alan, 1990. "Employee Recruitment and Selection: Teaching Manual," EB Series 186150, Cornell University, Department of Applied Economics and Management.

    Cited by:

    1. Maloney, Thomas R. & Milligan, Robert A., 1992. "A Survey of Human Resource Management Practices in Florist Crop Production Firms," Research Bulletins 123085, Cornell University, Department of Applied Economics and Management.

  2. Derek C. Angus & Mark A. Kelley & Robert Schmitz & Alan White & John Popovich, "undated". "Current and Projected Workforce Requirements for Care of the Critically Ill and Patients with Pulmonary Disease," Mathematica Policy Research Reports 33f21cd28e424d729fc73da7e, Mathematica Policy Research.

    Cited by:

    1. Shehadeh, Karmel S. & Padman, Rema, 2021. "A distributionally robust optimization approach for stochastic elective surgery scheduling with limited intensive care unit capacity," European Journal of Operational Research, Elsevier, vol. 290(3), pages 901-913.
    2. Maria Victoria V. Bongar & Frederick C. Pangan & John Rey B. Macindo, 2019. "Characteristics of a critical care clinical placement programme affecting critical care nursing competency of baccalaureate nursing students: A structural equation modelling," Journal of Clinical Nursing, John Wiley & Sons, vol. 28(9-10), pages 1760-1770, May.
    3. Ronny Enger & Birgitta Andershed, 2018. "Nurses’ experience of the transfer of ICU patients to general wards: A great responsibility and a huge challenge," Journal of Clinical Nursing, John Wiley & Sons, vol. 27(1-2), pages 186-194, January.
    4. Colin R Cooke, 2016. "Risk of Death Influences Regional Variation in Intensive Care Unit Admission Rates among the Elderly in the United States," PLOS ONE, Public Library of Science, vol. 11(11), pages 1-12, November.
    5. Vagts, Dierk A., 2006. "Ärztliche Personalbedarfsermittlung in der Intensivmedizin," Wismar Discussion Papers 10/2006, Hochschule Wismar, Wismar Business School.

Articles

  1. Hull, John & White, Alan, 2017. "Optimal delta hedging for options," Journal of Banking & Finance, Elsevier, vol. 82(C), pages 180-190.

    Cited by:

    1. Ke Nian & Thomas F. Coleman & Yuying Li, 2018. "Learning minimum variance discrete hedging directly from the market," Quantitative Finance, Taylor & Francis Journals, vol. 18(7), pages 1115-1128, July.
    2. Pascal François & Lars Stentoft, 2021. "Smile‐implied hedging with volatility risk," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 41(8), pages 1220-1240, August.
    3. Yu, Xiao-Jian & Wang, Zi-Ling & Xiao, Wei-Lin, 2020. "Is the nonlinear hedge of options more effective?—Evidence from the SSE 50 ETF options in China," The North American Journal of Economics and Finance, Elsevier, vol. 54(C).
    4. Kaeck, Andreas & Seeger, Norman J., 2020. "VIX derivatives, hedging and vol-of-vol risk," European Journal of Operational Research, Elsevier, vol. 283(2), pages 767-782.
    5. Josselin Garnier & Knut Solna, 2018. "Optimal hedging under fast-varying stochastic volatility," Papers 1810.08337, arXiv.org, revised Mar 2020.
    6. Hilliard, Jimmy E. & Hilliard, Jitka, 2019. "A jump-diffusion model for pricing and hedging with margined options: An application to Brent crude oil contracts," Journal of Banking & Finance, Elsevier, vol. 98(C), pages 137-155.
    7. Martin Keller-Ressel, 2022. "Bartlett's Delta revisited: Variance-optimal hedging in the lognormal SABR and in the rough Bergomi model," Papers 2207.13573, arXiv.org.
    8. Samuel N. Cohen & Christoph Reisinger & Sheng Wang, 2022. "Hedging option books using neural-SDE market models," Papers 2205.15991, arXiv.org.
    9. Johannes Ruf & Weiguan Wang, 2019. "Neural networks for option pricing and hedging: a literature review," Papers 1911.05620, arXiv.org, revised May 2020.
    10. Barletta, Andrea & Santucci de Magistris, Paolo & Sloth, David, 2019. "It only takes a few moments to hedge options," Journal of Economic Dynamics and Control, Elsevier, vol. 100(C), pages 251-269.
    11. Johannes Ruf & Weiguan Wang, 2020. "Hedging with Linear Regressions and Neural Networks," Papers 2004.08891, arXiv.org, revised Jun 2021.
    12. Babu Jose & James Varghese, 2021. "Ideal Investment Protection in Optimistic Perceptions: Evidence From the Indian Equity Options Market," International Journal of Financial Research, International Journal of Financial Research, Sciedu Press, vol. 12(2), pages 327-340, April.
    13. Francis Breedon & Louisa Chen & Angelo Ranaldo & Nicholas Vause, 2018. "Judgement Day: Algorithmic Trading Around the Swiss Franc Cap Removal," Working Papers on Finance 1808, University of St. Gallen, School of Finance.
    14. Maciej Augustyniak & Alexandru Badescu & Mathieu Boudreault, 2023. "On the Measurement of Hedging Effectiveness for Long-Term Investment Guarantees," JRFM, MDPI, vol. 16(2), pages 1-18, February.
    15. Edoardo Vittori & Michele Trapletti & Marcello Restelli, 2020. "Option Hedging with Risk Averse Reinforcement Learning," Papers 2010.12245, arXiv.org.
    16. Shvimer, Yossi & Herbon, Avi, 2020. "Comparative empirical study of binomial call-option pricing methods using S&P 500 index data," The North American Journal of Economics and Finance, Elsevier, vol. 51(C).
    17. Xia, Kun & Yang, Xuewei & Zhu, Peng, 2023. "Delta hedging and volatility-price elasticity: A two-step approach," Journal of Banking & Finance, Elsevier, vol. 153(C).
    18. Shi Qiu & Sovan Mitra, 2018. "Mathematical Properties Of American Chooser Options," Journal of Enterprising Culture (JEC), World Scientific Publishing Co. Pte. Ltd., vol. 21(08), pages 1-30, December.
    19. Nian, Ke & Coleman, Thomas F & Li, Yuying, 2021. "Learning sequential option hedging models from market data," Journal of Banking & Finance, Elsevier, vol. 133(C).
    20. Taicir Mezghani & Mouna Boujelbène Abbes, 2023. "Forecast the Role of GCC Financial Stress on Oil Market and GCC Financial Markets Using Convolutional Neural Networks," Asia-Pacific Financial Markets, Springer;Japanese Association of Financial Economics and Engineering, vol. 30(3), pages 505-530, September.
    21. Peng, Cheng & Li, Shuang & Zhao, Yanlong & Bao, Ying, 2021. "Sample average approximation of CVaR-based hedging problem with a deep-learning solution," The North American Journal of Economics and Finance, Elsevier, vol. 56(C).
    22. Mi‐Hsiu Chiang & Hsin‐Yu Chiu & Robin K. Chou, 2021. "Relevance of the disposition effect on the options market: New evidence," Financial Management, Financial Management Association International, vol. 50(1), pages 75-106, March.
    23. Roberto Daluiso & Marco Pinciroli & Michele Trapletti & Edoardo Vittori, 2023. "CVA Hedging by Risk-Averse Stochastic-Horizon Reinforcement Learning," Papers 2312.14044, arXiv.org.
    24. Zoran Stoiljkovic, 2023. "Applying Reinforcement Learning to Option Pricing and Hedging," Papers 2310.04336, arXiv.org.
    25. Maciej Augustyniak & Alexandru Badescu, 2021. "On the computation of hedging strategies in affine GARCH models," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 41(5), pages 710-735, May.
    26. Augustyniak, Maciej & Badescu, Alexandru & Bégin, Jean-François, 2023. "A discrete-time hedging framework with multiple factors and fat tails: On what matters," Journal of Econometrics, Elsevier, vol. 232(2), pages 416-444.

  2. Teo, Chin Hai & Ng, Chirk Jenn & Booth, Andrew & White, Alan, 2016. "Barriers and facilitators to health screening in men: A systematic review," Social Science & Medicine, Elsevier, vol. 165(C), pages 168-176.

    Cited by:

    1. Adriana Blanco-Metzler & Hilda Núñez-Rivas & Jaritza Vega-Solano & María A. Montero-Campos & Karla Benavides-Aguilar & Nazareth Cubillo-Rodríguez, 2021. "Household Cooking and Eating out: Food Practices and Perceptions of Salt/Sodium Consumption in Costa Rica," IJERPH, MDPI, vol. 18(3), pages 1-19, January.
    2. Muhammad Zikri Ab Aziz & Tengku Alina Tengku Ismail & Mohd Ismail Ibrahim & Najib Majdi Yaacob & Zakiah Mohd Said, 2022. "Experiences and Expectations of the Characteristics of Friendly Primary Health Services from the Perspective of Men: A Phenomenological Qualitative Study," IJERPH, MDPI, vol. 19(19), pages 1-27, September.
    3. Ming-Jye Wang & Yi-Ting Lo, 2022. "Strategies for Improving the Utilization of Preventive Care Services: Application of Importance–Performance Gap Analysis Method," IJERPH, MDPI, vol. 19(20), pages 1-11, October.
    4. Bo-Mi Shin & Jung-Sun Heo & Jae-In Ryu, 2021. "An Investigation of the Association between Health Screening and Dental Scaling in Korea," IJERPH, MDPI, vol. 18(8), pages 1-13, April.
    5. Shim, Jae-Mahn & Kim, Jibum, 2020. "Contextualizing geneticization and medical pluralism: How variable institutionalization of traditional, complementary, and alternative medicine (TCAM) conditions effects of genetic beliefs on utilizat," Social Science & Medicine, Elsevier, vol. 267(C).
    6. Maksymilian Gajda & Małgorzata Kowalska, 2020. "Decreasing the Impact of Anxiety on Cancer Prevention through Online Intervention," IJERPH, MDPI, vol. 17(3), pages 1-10, February.
    7. Sarah Hawkes & Athena Pantazis & Anna Purdie & Abhishek Gautam & Sylvia Kiwuwa-Muyingo & Kent Buse & Sonja Tanaka & Kakoli Borkotoky & Sneha Sharma & Ravi Verma, 2022. "Sex-disaggregated data matters: tracking the impact of COVID-19 on the health of women and men," Economia Politica: Journal of Analytical and Institutional Economics, Springer;Fondazione Edison, vol. 39(1), pages 55-73, April.

  3. John Hull & Alan White, 2015. "A generalized procedure for building trees for the short rate and its application to determining market implied volatility functions," Quantitative Finance, Taylor & Francis Journals, vol. 15(3), pages 443-454, March.

    Cited by:

    1. Andrey Itkin, 2020. "Geometric Local Variance Gamma Model," World Scientific Book Chapters, in: Fitting Local Volatility Analytic and Numerical Approaches in Black-Scholes and Local Variance Gamma Models, chapter 6, pages 137-173, World Scientific Publishing Co. Pte. Ltd..

  4. Heard, Joanna & Malcolm, Bill & Jackson, T. & Tocker, J. & Graham, P. & White, A., 2013. "Whole farm analysis versus activity gross margin analysis: a sheep farm example," AFBM Journal, Australasian Farm Business Management Network, vol. 10, pages 1-14.

    Cited by:

    1. Glover, Sari, 2015. "How to think about what climate change might mean for a wool producer in Yass, New South Wales," AFBM Journal, Australasian Farm Business Management Network, vol. 12, pages 1-21.
    2. Tocker, Jonathon & Malcolm, B. & Heard, J. & Ho, C. & Behrendt, R., 2022. "Profitable Sheep Farming in South-west Victoria: Specialisation or Diversification Under Volatile Prices, Costs and Climate," AFBM Journal, Australasian Farm Business Management Network, vol. 19(1), April.

  5. Lee, L.M. & Heilig, C.M. & White, A., 2012. "Ethical justification for conducting public health surveillance without patient consent," American Journal of Public Health, American Public Health Association, vol. 102(1), pages 38-44.

    Cited by:

    1. Molldrem, Stephen & Hussain, Mustafa I. & McClelland, Alexander, 2021. "Alternatives to sharing COVID-19 data with law enforcement: Recommendations for stakeholders," Health Policy, Elsevier, vol. 125(2), pages 135-140.
    2. Moctezuma Garcia & Samantha Devlin & Jared Kerman & Kayo Fujimoto & Lisa R. Hirschhorn & Gregory Phillips & John Schneider & Moira C. McNulty, 2023. "Ending the HIV Epidemic: Identifying Barriers and Facilitators to Implement Molecular HIV Surveillance to Develop Real-Time Cluster Detection and Response Interventions for Local Communities," IJERPH, MDPI, vol. 20(4), pages 1-11, February.
    3. Gouda, Hebe N. & Flaxman, Abraham D. & Brolan, Claire E. & Joshi, Rohina & Riley, Ian D. & AbouZahr, Carla & Firth, Sonja & Rampatige, Rasika & Lopez, Alan D., 2017. "New challenges for verbal autopsy: Considering the ethical and social implications of verbal autopsy methods in routine health information systems," Social Science & Medicine, Elsevier, vol. 184(C), pages 65-74.

  6. Graham, Phil & White, A., 2010. "Sheep enterprises—what are the differences?," AFBM Journal, Australasian Farm Business Management Network, vol. 7(1), pages 1-9, October.

    Cited by:

    1. Tocker, Jonathon & Malcolm, B. & Heard, J. & Ho, C. & Behrendt, R., 2022. "Profitable Sheep Farming in South-west Victoria: Specialisation or Diversification Under Volatile Prices, Costs and Climate," AFBM Journal, Australasian Farm Business Management Network, vol. 19(1), April.

  7. Alan White & Howard Birnbaum & Dov Rothman & Nathaniel Katz, 2009. "Development of a budget-impact model to quantify potential cost savings from prescription opioids designed to deter abuse or ease of extraction," Applied Health Economics and Health Policy, Springer, vol. 7(1), pages 61-70, March.

    Cited by:

    1. J. Rice & Noam Kirson & Amie Shei & Alice Cummings & Katharine Bodnar & Howard Birnbaum & Rami Ben-Joseph, 2014. "Estimating the Costs of Opioid Abuse and Dependence from an Employer Perspective: a Retrospective Analysis Using Administrative Claims Data," Applied Health Economics and Health Policy, Springer, vol. 12(4), pages 435-446, August.
    2. Josephine Mauskopf & Stephanie Earnshaw, 2016. "A Methodological Review of US Budget-Impact Models for New Drugs," PharmacoEconomics, Springer, vol. 34(11), pages 1111-1131, November.
    3. Arnie Aldridge & Larry Kroutil & Alexander Cowell & Daniel Reeves & David Brunt, 2011. "Medication Costs to Private Insurers of Diversion of Medications for Attention-Deficit Hyperactivity Disorder," PharmacoEconomics, Springer, vol. 29(7), pages 621-635, July.

  8. Hull, John & Predescu, Mirela & White, Alan, 2004. "The relationship between credit default swap spreads, bond yields, and credit rating announcements," Journal of Banking & Finance, Elsevier, vol. 28(11), pages 2789-2811, November.

    Cited by:

    1. Kanagaretnam, Kiridaran & Zhang, Gaiyan & Zhang, Sanjian Bill, 2016. "CDS pricing and accounting disclosures: Evidence from U.S. bank holding corporations around the recent financial crisis," Journal of Financial Stability, Elsevier, vol. 22(C), pages 33-44.
    2. Song, Wei-Ling & Uzmanoglu, Cihan, 2016. "TARP announcement, bank health, and borrowers’ credit risk," Journal of Financial Stability, Elsevier, vol. 22(C), pages 22-32.
    3. Hsien-Yi Chen & Sheng-Syan Chen, 2023. "Can credit default swaps exert an enduring monitoring influence on political integrity?," Review of Quantitative Finance and Accounting, Springer, vol. 60(2), pages 445-469, February.
    4. Sergio Mayordomo & Juan Ignacio Pe~na & Eduardo S. Schwartz, 2022. "Are all Credit Default Swap Databases equal?," Papers 2202.02273, arXiv.org.
    5. Campbell, John Y. & Giglio, Stefano & Polk, Christopher & Turley, Robert, 2018. "An intertemporal CAPM with stochastic volatility," Journal of Financial Economics, Elsevier, vol. 128(2), pages 207-233.
    6. Stephen L. Curtis, 2008. "Transfer Pricing for Corporate Treasury in the Multinational Enterprise," Journal of Applied Corporate Finance, Morgan Stanley, vol. 20(2), pages 97-112, March.
    7. Raimbourg, Philippe & Salvadè, Federica, 2021. "Rating Announcements, CDS Spread and Volatility During the European Sovereign Crisis," Finance Research Letters, Elsevier, vol. 40(C).
    8. Dionne, Georges & Maalaoui Chun, Olfa, 2013. "Default and liquidity regimes in the bond market during the 2002-2012 period," Working Papers 13-4, HEC Montreal, Canada Research Chair in Risk Management.
    9. Marat Kurbangaleev & Victor Lapshin & Sergey N. Smirnov, 2015. "Study of Consistency of Bond and CDS Quotes," HSE Working papers WP BRP 43/FE/2015, National Research University Higher School of Economics.
    10. Fischer, Thomas, 2015. "Market structure and rating strategies in credit rating markets – A dynamic model with matching of heterogeneous bond issuers and rating agencies," Journal of Banking & Finance, Elsevier, vol. 58(C), pages 39-56.
    11. Osano, Hiroshi, 2020. "Credit default swaps and market information," Journal of Financial Markets, Elsevier, vol. 48(C).
    12. Jan Annaert & Marc De Ceuster & Patrick Van Roy & Cristina Vespro, 2010. "What determines euro area bank CDS spreads ?," Working Paper Research 190, National Bank of Belgium.
    13. Ismailescu, Iuliana & Kazemi, Hossein, 2010. "The reaction of emerging market credit default swap spreads to sovereign credit rating changes," Journal of Banking & Finance, Elsevier, vol. 34(12), pages 2861-2873, December.
    14. Adelino, Manuel & Dinc, I. Serdar, 2014. "Corporate distress and lobbying: Evidence from the Stimulus Act," Journal of Financial Economics, Elsevier, vol. 114(2), pages 256-272.
    15. Bertrand Hassani & Xin Zhao, 2014. "Reconsidering Corporate Ratings," Post-Print hal-01117683, HAL.
    16. Serhan Cevik & Belma Öztürkkal, 2021. "Contagion of fear: Is the impact of COVID‐19 on sovereign risk really indiscriminate?," International Finance, Wiley Blackwell, vol. 24(2), pages 134-154, August.
    17. Alexandros Garefalakis & Nikolaos Sariannidis & Christos Lemonakis, 2020. "Operational elements of Narrative Disclosure Information (NDI) in a geographical context," Annals of Operations Research, Springer, vol. 294(1), pages 123-149, November.
    18. Frolova, Elvina & Fantazzini, Dean, 2012. "Credit default swaps and CDS-bond basis with Russian companies: a review and an analysis of the effects of the short selling ban during the second great contraction," Applied Econometrics, Russian Presidential Academy of National Economy and Public Administration (RANEPA), vol. 25(1), pages 3-24.
    19. Abinzano, Isabel & Gonzalez-Urteaga, Ana & Muga, Luis & Sanchez, Santiago, 2020. "Performance of default-risk measures: the sample matters," Journal of Banking & Finance, Elsevier, vol. 120(C).
    20. Michele Leonardo Bianchi, 2012. "An empirical comparison of alternative credit default swap pricing models," Temi di discussione (Economic working papers) 882, Bank of Italy, Economic Research and International Relations Area.
    21. Frank X. Zhang, 2003. "What did the credit market expect of Argentina default? Evidence from default swap data," Finance and Economics Discussion Series 2003-25, Board of Governors of the Federal Reserve System (U.S.).
    22. Kinateder, Harald & Wagner, Niklas, 2017. "Quantitative easing and the pricing of EMU sovereign debt," The Quarterly Review of Economics and Finance, Elsevier, vol. 66(C), pages 1-12.
    23. Grothe, Magdalena, 2013. "Market pricing of credit rating signals," Working Paper Series 1623, European Central Bank.
    24. Delatte, Anne-Laure & Gex, Mathieu & López-Villavicencio, Antonia, 2012. "Has the CDS market influenced the borrowing cost of European countries during the sovereign crisis?," Journal of International Money and Finance, Elsevier, vol. 31(3), pages 481-497.
    25. Norden, Lars, 2017. "Information in CDS spreads," Journal of Banking & Finance, Elsevier, vol. 75(C), pages 118-135.
    26. Anginer, Deniz & Yildizhan, Celim, 2010. "Is there a distress risk anomaly ? pricing of systematic default risk in the cross section of equity returns," Policy Research Working Paper Series 5319, The World Bank.
    27. Afonso, António & Gomes, Pedro & Taamouti, Abderrahim, 2014. "Sovereign credit ratings, market volatility, and financial gains," Working Paper Series 1654, European Central Bank.
    28. Benbouzid, Nadia & Leonida, Leone & Mallick, Sushanta K., 2018. "The non-monotonic impact of bank size on their default swap spreads: Cross-country evidence," International Review of Financial Analysis, Elsevier, vol. 55(C), pages 226-240.
    29. Feldhütter, Peter & Hotchkiss, Edith & Karakaş, Oğuzhan, 2016. "The value of creditor control in corporate bonds," Journal of Financial Economics, Elsevier, vol. 121(1), pages 1-27.
    30. Nicole Thorne Jenkins & Michael D. Kimbrough & Juan Wang, 2016. "The extent of informational efficiency in the credit default swap market: evidence from post-earnings announcement returns," Review of Quantitative Finance and Accounting, Springer, vol. 46(4), pages 725-761, May.
    31. Choi, Jae Yong & Yi, Junesuh & Yoon, Sun-Joong, 2020. "A better criterion for forced selling in bond markets: Credit ratings versus credit spreads," Finance Research Letters, Elsevier, vol. 37(C).
    32. Javadi, Siamak & Mollagholamali, Mohsen, 2018. "Debt market illiquidity and correlated default risk," Finance Research Letters, Elsevier, vol. 26(C), pages 266-273.
    33. Robert N. Collender, 2008. "Enterprise Credit Default Swaps and Market Discipline – Preliminary Analysis," FHFA Staff Working Papers 08-02, Federal Housing Finance Agency.
    34. Bertoni, Fabio & Lugo, Stefano, 2014. "The effect of sovereign wealth funds on the credit risk of their portfolio companies," Journal of Corporate Finance, Elsevier, vol. 27(C), pages 21-35.
    35. Adam B. Ashcraft & João A. C. Santos, 2006. "Has the development of the structured credit market affected the cost of corporate debt?," Proceedings, Federal Reserve Bank of San Francisco, issue Nov.
    36. Bannier, Christina E. & Hirsch, Christian, 2009. "The economic function of credit rating agencies: what does the watchlist tell us?," Frankfurt School - Working Paper Series 124, Frankfurt School of Finance and Management.
    37. da Silva, Paulo Pereira & Rebelo, Paulo Tomaz & Afonso, Cristina, 2013. "Tail dependence of financial stocks and CDS markets: Evidence using copula methods and simulation-based inference," Economics Discussion Papers 2013-52, Kiel Institute for the World Economy (IfW Kiel).
    38. Han-Hsing Lee & Kuanyu Shih & Kehluh Wang, 2016. "Measuring sovereign credit risk using a structural model approach," Review of Quantitative Finance and Accounting, Springer, vol. 47(4), pages 1097-1128, November.
    39. Norden, L. & Wagner, W.B., 2007. "Credit Derivatives and Loan Pricing," Other publications TiSEM eb6693d1-7ce6-485f-80cb-5, Tilburg University, School of Economics and Management.
    40. Mr. Jorge A Chan-Lau & Miss Estelle X Liu & Jochen M. Schmittmann, 2012. "Equity Returns in the Banking Sector in the Wake of the Great Recession and the European Sovereign Debt Crisis," IMF Working Papers 2012/174, International Monetary Fund.
    41. Haerri, Matthias & Morkoetter, Stefan & Westerfeld, Simone, 2014. "Sovereign Risk and the Pricing of Corporate Credit Default Swaps," Working Papers on Finance 1423, University of St. Gallen, School of Finance, revised Feb 2015.
    42. Clemens Kool, 2006. "Financial Stability in European Banking: The Role of Common Factors," Open Economies Review, Springer, vol. 17(4), pages 525-540, December.
    43. Nathalie Rey, 2009. "Credit derivatives: instruments of hedging and factors of instability. The example of ?Credit Default Swaps? on French reference entities," Papers 0911.4039, arXiv.org.
    44. Carlos Alves & Victor Mendes & Paulo Pereira da Silva, 2015. "Do stress tests matter? A study on the impact of the disclosure of stress test results on European financial stocks and CDS markets," Applied Economics, Taylor & Francis Journals, vol. 47(12), pages 1213-1229, March.
    45. Georges Dionne & Olfa Maalaoui Chun, 2013. "Presidential Address: Default and liquidity regimes in the bond market during the 2002–2012 period," Canadian Journal of Economics/Revue canadienne d'économique, John Wiley & Sons, vol. 46(4), pages 1160-1195, November.
    46. Nan Li & Alex YiHou Huang, 2011. "Price Discovery between Sovereign Credit Default Swaps and Bond Yield Spreads of Emerging Markets," Journal of Emerging Market Finance, Institute for Financial Management and Research, vol. 10(2), pages 197-225, August.
    47. Oliver Hart & Luigi Zingales, 2011. "A New Capital Regulation for Large Financial Institutions," American Law and Economics Review, American Law and Economics Association, vol. 13(2), pages 453-490.
    48. Narayan, Paresh Kumar & Bannigidadmath, Deepa, 2021. "Financial news and CDS spreads," Journal of Behavioral and Experimental Finance, Elsevier, vol. 29(C).
    49. Klomp, Jeroen, 2013. "Government interventions and default risk: Does one size fit all?," Journal of Financial Stability, Elsevier, vol. 9(4), pages 641-653.
    50. Ho, Amy Yueh-Fang & Liang, Hsin-Yu & Jian, Jhih-Shan, 2023. "How does national culture affect the spillover effects of sovereign ratings on corporate ratings?," International Review of Economics & Finance, Elsevier, vol. 84(C), pages 671-691.
    51. Switzer, Lorne N. & Wang, Jun, 2017. "Institutional investment horizon, the information environment, and firm credit risk," Journal of Financial Stability, Elsevier, vol. 29(C), pages 57-71.
    52. Pourkhanali, Armin & Kim, Jong-Min & Tafakori, Laleh & Fard, Farzad Alavi, 2016. "Measuring systemic risk using vine-copula," Economic Modelling, Elsevier, vol. 53(C), pages 63-74.
    53. Courtney, Samuel, 2010. "2008 SEC short selling ban: impacts on the credit default swap market," MPRA Paper 35390, University Library of Munich, Germany.
    54. Afonso, António & Gomes, Pedro & Furceri, Davide, 2011. "Sovereign credit ratings and financial markets linkages: application to European data," Working Paper Series 1347, European Central Bank.
    55. Manuel Ammann & Kristian Blickle & Christian Ehmann, 2017. "Announcement Effects of Contingent Convertible Securities: Evidence from the Global Banking Industry," European Financial Management, European Financial Management Association, vol. 23(1), pages 127-152, January.
    56. Ingo Fender & Bernd Hayo & Matthias Neuenkirch, 2011. "Daily CDS pricing in emerging markets before and during the global financial crisis," MAGKS Papers on Economics 201139, Philipps-Universität Marburg, Faculty of Business Administration and Economics, Department of Economics (Volkswirtschaftliche Abteilung).
    57. Banerjee, Anurag & Hung, Chi-Hsiou Daniel & Lo, Kai Lisa, 2016. "An anatomy of credit risk transfer between sovereign and financials in the Eurozone crisis," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 41(C), pages 102-120.
    58. Cinquegrana, Piero, 2009. "The Reform of the Credit Rating Agencies: A Comparative Perspective," ECMI Papers 1619, Centre for European Policy Studies.
    59. Jan Ericsson & Kris Jacobs & Rodolfo A. Oviedo, 2004. "The Determinants of Credit Default Swap Premia," CIRANO Working Papers 2004s-55, CIRANO.
    60. Mauricio Calani C., 2012. "Spillovers of the Credit Default Swap Market," Working Papers Central Bank of Chile 678, Central Bank of Chile.
    61. Alsakka, Rasha & ap Gwilym, Owain, 2012. "Rating agencies' credit signals: An analysis of sovereign watch and outlook," International Review of Financial Analysis, Elsevier, vol. 21(C), pages 45-55.
    62. Sergio Mayordomo & Juan Ignacio Peña & María Rodríguez-Moreno, 2012. "Liquidity Commonalities in the Corporate CDS Market around the 2007-2012 Financial Crisis," Faculty Working Papers 23/12, School of Economics and Business Administration, University of Navarra.
    63. Amine Lahiani & Shawkat Hammoudeh & Rangan Gupta, 2016. "Linkages between financial sector CDS spreads and macroeconomic influence in a nonlinear setting," Post-Print hal-03531142, HAL.
    64. Drago, Danilo & Gallo, Raffaele, 2017. "The impact of sovereign rating changes on European syndicated loan spreads: The role of the rating-based regulation," Journal of International Money and Finance, Elsevier, vol. 73(PA), pages 213-231.
    65. Benjamin Y. Zhang & Hao Zhou & Haibin Zhu, 2005. "Explaining credit default swap spreads with the equity volatility and jump risks of individual firms," Finance and Economics Discussion Series 2005-63, Board of Governors of the Federal Reserve System (U.S.).
    66. Brogaard, Jonathan & Koski, Jennifer L. & Siegel, Andrew F., 2019. "Do upgrades matter? Evidence from trading volume," Journal of Financial Markets, Elsevier, vol. 43(C), pages 54-77.
    67. Stephen Zamore & Kwame Ohene Djan & Ilan Alon & Bersant Hobdari, 2018. "Credit Risk Research: Review and Agenda," Emerging Markets Finance and Trade, Taylor & Francis Journals, vol. 54(4), pages 811-835, March.
    68. Balasubramnian, Bhanu & Cyree, Ken B., 2014. "Has market discipline on banks improved after the Dodd–Frank Act?," Journal of Banking & Finance, Elsevier, vol. 41(C), pages 155-166.
    69. Debora Revoltella & Fabio Mucci & Dubravko Mihaljek, 2010. "Properly pricing country risk: a model for pricing long-term fundamental risk applied to central and eastern European countries," Financial Theory and Practice, Institute of Public Finance, vol. 34(3), pages 219-245.
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    Cited by:

    1. Dennis Kristensen & Antonio Mele, 2009. "Adding and Subtracting Black-Scholes: A New Approach to Approximating Derivative Prices in Continuous Time Models," CREATES Research Papers 2009-14, Department of Economics and Business Economics, Aarhus University.
    2. Hasan, Iftekhar & Sudipto, Sarkar, 2002. "Banks' option to lend, interest rate sensitivity, and credit availability," Bank of Finland Research Discussion Papers 15/2002, Bank of Finland.
    3. Ben-Ameur, Hatem & de Frutos, Javier & Fakhfakh, Tarek & Diaby, Vacaba, 2013. "Upper and lower bounds for convex value functions of derivative contracts," Economic Modelling, Elsevier, vol. 34(C), pages 69-75.
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    29. Chung-Li Tseng & Daniel Wei-Chung Miao & San-Lin Chung & Pai-Ta Shih, 2021. "How Much Do Negative Probabilities Matter in Option Pricing?: A Case of a Lattice-Based Approach for Stochastic Volatility Models," JRFM, MDPI, vol. 14(6), pages 1-32, May.
    30. Buckley, Adrian & Eijgenhuijsen, Hans, 1997. "A conceptual framework for evaluating foreign investments," Serie Research Memoranda 0008, VU University Amsterdam, Faculty of Economics, Business Administration and Econometrics.
    31. Manuel Munoz Palma & Ezequiel Aviles Ochoa, 2014. "Addition Of The Fuzzy Logic Model To Black-Scholes, For Pricing Mexican Currency Options, La Incorporacion De La Logica Difusa Al Modelo Black-Scholes, Para La Determinacion Del Precio De La Opcion Ca," Revista Internacional Administracion & Finanzas, The Institute for Business and Finance Research, vol. 7(7), pages 55-73.
    32. Chuang-Chang Chang & Jun-Biao Lin, 2010. "The valuation of multivariate contingent claims under transformed trinomial approaches," Review of Quantitative Finance and Accounting, Springer, vol. 34(1), pages 23-36, January.
    33. Zhongdi Cen & Anbo Le & Aimin Xu, 2012. "A Second-Order Difference Scheme for the Penalized Black–Scholes Equation Governing American Put Option Pricing," Computational Economics, Springer;Society for Computational Economics, vol. 40(1), pages 49-62, June.
    34. Mark Broadie & Jérôme Detemple, 1996. "Recent Advances in Numerical Methods for Pricing Derivative Securities," CIRANO Working Papers 96s-17, CIRANO.
    35. Nyoumbi, Christelle Dleuna & Tambue, Antoine, 2023. "Convergence of a fitted finite volume method for pricing two dimensional assets with stochastic volatilities," Mathematics and Computers in Simulation (MATCOM), Elsevier, vol. 207(C), pages 388-416.

  14. Hull, John & White, Alan, 1987. "Hedging the risks from writing foreign currency options," Journal of International Money and Finance, Elsevier, vol. 6(2), pages 131-152, June.

    Cited by:

    1. Robert F. Engle & Joshua Rosenberg, 1966. "Testing the Volatility Term Structure Using Option Hedging Criteria," New York University, Leonard N. Stern School Finance Department Working Paper Seires 96-24, New York University, Leonard N. Stern School of Business-.
    2. Jinliang Li & Chihwa Kao & Wei David Zhang, 2010. "Bounded influence estimator for GARCH models: evidence from foreign exchange rates," Applied Economics, Taylor & Francis Journals, vol. 42(11), pages 1437-1445.
    3. David McMillan, 2001. "Common stochastic volatility trend in European exchange rates," Applied Economics Letters, Taylor & Francis Journals, vol. 8(9), pages 605-608.
    4. Matteo Pelagatti & Giacomo Sbrana, 2020. "Estimating high dimensional multivariate stochastic volatility models," Working Papers 428, University of Milano-Bicocca, Department of Economics, revised Jan 2020.
    5. Sebastian Herrmann & Johannes Muhle-Karbe, 2017. "Model uncertainty, recalibration, and the emergence of delta–vega hedging," Finance and Stochastics, Springer, vol. 21(4), pages 873-930, October.
    6. Melino, Angelo & Turnbull, Stuart M., 1995. "Misspecification and the pricing and hedging of long-term foreign currency options," Journal of International Money and Finance, Elsevier, vol. 14(3), pages 373-393, June.
    7. Ibrahim Chowdhury & Lucio Sarno, 2004. "Time‐Varying Volatility in the Foreign Exchange Market: New Evidence on its Persistence and on Currency Spillovers," Journal of Business Finance & Accounting, Wiley Blackwell, vol. 31(5‐6), pages 759-793, June.
    8. Rustem, Berc, 1995. "Computing optimal multi-currency mean-variance portfolios," Journal of Economic Dynamics and Control, Elsevier, vol. 19(5-7), pages 901-908.
    9. Raymond Chiang & John Okunev & Mark Tippett, 1997. "Stochastic interest rates, transaction costs, and immunizing foreign currency risk," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 17(5), pages 579-598, August.
    10. Chang, Chuang-Chang, 2001. "Efficient procedures for the valuation and hedging of American currency options with stochastic interest rates," Journal of Multinational Financial Management, Elsevier, vol. 11(3), pages 241-268, July.
    11. Lim, Terence & Lo, Andrew W. & Merton, Robert C. & Scholes, Myron S., 2006. "The Derivatives Sourcebook," Foundations and Trends(R) in Finance, now publishers, vol. 1(5–6), pages 365-572, April.
    12. Robert F. Engle & Joshua V. Rosenberg, 1995. "GARCH Gamma," NBER Working Papers 5128, National Bureau of Economic Research, Inc.
    13. Georgios Tsiotas, 2009. "On the use of non-linear transformations in Stochastic Volatility models," Statistical Methods & Applications, Springer;Società Italiana di Statistica, vol. 18(4), pages 555-583, November.
    14. Selçuk, Faruk, 2004. "Free float and stochastic volatility: the experience of a small open economy," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 342(3), pages 693-700.
    15. M. Hakan Eratalay, 2016. "Estimation of Multivariate Stochastic Volatility Models: A Comparative Monte Carlo Study," International Econometric Review (IER), Econometric Research Association, vol. 8(2), pages 19-52, September.
    16. J. Jimenez & R. Biscay & T. Ozaki, 2005. "Inference Methods for Discretely Observed Continuous-Time Stochastic Volatility Models: A Commented Overview," Asia-Pacific Financial Markets, Springer;Japanese Association of Financial Economics and Engineering, vol. 12(2), pages 109-141, June.
    17. Sebastian Herrmann & Johannes Muhle-Karbe, 2017. "Model Uncertainty, Recalibration, and the Emergence of Delta-Vega Hedging," Papers 1704.04524, arXiv.org.
    18. Dao, Chi-Mai & Wolters, Jürgen, 2008. "Common stochastic volatility trends in international stock returns," International Review of Financial Analysis, Elsevier, vol. 17(3), pages 431-445, June.
    19. Chihwa Kao, 2001. "Geography, Industrial Organization, and Agglomeration Heteroskedasticity Models with Estimates of the Variances of Foreign Exchange Rates," Center for Policy Research Working Papers 34, Center for Policy Research, Maxwell School, Syracuse University.
    20. Barone-Adesi, Giovanni & Rasmussen, Henrik & Ravanelli, Claudia, 2005. "An option pricing formula for the GARCH diffusion model," Computational Statistics & Data Analysis, Elsevier, vol. 49(2), pages 287-310, April.
    21. Dajiang Guo, 2000. "Dynamic Volatility Trading Strategies in the Currency Option Market," Review of Derivatives Research, Springer, vol. 4(2), pages 133-154, May.

Chapters

  1. Hull, John & White, Alan, 2013. "Credit Derivatives," Handbook of the Economics of Finance, in: G.M. Constantinides & M. Harris & R. M. Stulz (ed.), Handbook of the Economics of Finance, volume 2, chapter 0, pages 1363-1396, Elsevier.

    Cited by:

    1. Han, Meng & He, Yeqi & Zhang, Hu, 2013. "A Note on Discounting and Funding Value Adjustments for Derivatives," MPRA Paper 44495, University Library of Munich, Germany.
    2. Hunzinger, Chadd B. & Labuschagne, Coenraad C.A., 2014. "The Cox, Ross and Rubinstein tree model which includes counterparty credit risk and funding costs," The North American Journal of Economics and Finance, Elsevier, vol. 29(C), pages 200-217.
    3. Heaton, J.B., 2018. "Risk aversion as risk-neutral pessimism: A simple proof," International Review of Law and Economics, Elsevier, vol. 56(C), pages 70-72.

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