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Publications

by members of

McGill University → Desautels Faculty of Management → Desmarais Global Finance Research Centre

These are publications listed in RePEc written by members of the above institution who are registered with the RePEc Author Service. Thus this compiles the works all those currently affiliated with this institution, not those affilated at the time of publication. List of registered members. Register yourself. Citation analysis. This page is updated in the first days of each month.
| Working papers | Journal articles |

Working papers

2004

  1. Jan Ericsson & Kris Jacobs & Rodolfo A. Oviedo, 2004, "The Determinants of Credit Default Swap Premia," CIRANO Working Papers, CIRANO, number 2004s-55, Nov.

2003

  1. Ericsson, Jan & Reneby, Joel, 2003, "Valuing Corporate Liabilities," SIFR Research Report Series, Institute for Financial Research, number 15, Jun.

2001

  1. Reneby, Joel & Ericsson, Jan, 2001, "The Valuation of Corporate Liabilities: Theory and Tests," SSE/EFI Working Paper Series in Economics and Finance, Stockholm School of Economics, number 445, Feb, revised 07 Jan 2003.

2000

  1. Olivier Renault & Jan Ericsson, 2000, "Liquidity and Credit Risk," FMG Discussion Papers, Financial Markets Group, number dp362, Nov.

1999

  1. Ericsson, Jan & Reneby, Joel, 1999, "A Note on Contingent Claims Pricing with Non-Traded Assets," SSE/EFI Working Paper Series in Economics and Finance, Stockholm School of Economics, number 314, Mar, revised 01 Jul 2002.

1996

  1. Ericsson, Jan & Reneby, Joel, 1996, "Stock Options as Barrier Contingent Claims," SSE/EFI Working Paper Series in Economics and Finance, Stockholm School of Economics, number 137, Nov, revised Sep 2002.

1995

  1. Ericsson, Jan & Reneby, Joel, 1995, "A Framework for Valuing Corporate Securities," SSE/EFI Working Paper Series in Economics and Finance, Stockholm School of Economics, number 89, Dec, revised 03 Dec 1998.

Journal articles

2009

  1. Ericsson, Jan & Jacobs, Kris & Oviedo, Rodolfo, 2009, "The Determinants of Credit Default Swap Premia," Journal of Financial and Quantitative Analysis, Cambridge University Press, volume 44, issue 1, pages 109-132, February.

2006

  1. Jan Ericsson & Olivier Renault, 2006, "Liquidity and Credit Risk," Journal of Finance, American Finance Association, volume 61, issue 5, pages 2219-2250, October, DOI: 10.1111/j.1540-6261.2006.01056.x.

2005

  1. Jan Ericsson & Joel Reneby, 2005, "Estimating Structural Bond Pricing Models," The Journal of Business, University of Chicago Press, volume 78, issue 2, pages 707-735, March, DOI: 10.1086/427644.

2003

  1. Jan Ericsson & Joel Reneby, 2003, "Stock options as barrier contingent claims," Applied Mathematical Finance, Taylor & Francis Journals, volume 10, issue 2, pages 121-147, DOI: 10.1080/1350486032000088921.

1998

  1. Jan Ericsson & Joel Reneby, 1998, "A framework for valuing corporate securities," Applied Mathematical Finance, Taylor & Francis Journals, volume 5, issue 3-4, pages 143-163, DOI: 10.1080/135048698334619.

IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.