Publications
by members of
Desmarais Global Finance Research Centre
Desautels Faculty of Management
McGill University
Montréal, Canada
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
- Jan Ericsson & Kris Jacobs & Rodolfo A. Oviedo, 2004.
"The Determinants of Credit Default Swap Premia,"
CIRANO Working Papers
2004s-55, CIRANO.
- Ericsson, Jan & Jacobs, Kris & Oviedo, Rodolfo, 2009. "The Determinants of Credit Default Swap Premia," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 44(1), pages 109-132, February.
- Ericsson, Jan & Jacobs, Kris & Oviedo-Helfenberger, Rodolfo, 2004. "The Determinants of Credit Default Swap Premia," SIFR Research Report Series 32, Institute for Financial Research.
2003
- Ericsson, Jan & Reneby, Joel, 2003. "Valuing Corporate Liabilities," SIFR Research Report Series 15, Institute for Financial Research.
2001
- Reneby, Joel & Ericsson, Jan, 2001. "The Valuation of Corporate Liabilities: Theory and Tests," SSE/EFI Working Paper Series in Economics and Finance 445, Stockholm School of Economics, revised 07 Jan 2003.
2000
- Olivier Renault & Jan Ericsson, 2000.
"Liquidity and Credit Risk,"
FMG Discussion Papers
dp362, Financial Markets Group.
- Jan Ericsson & Olivier Renault, 2006. "Liquidity and Credit Risk," Journal of Finance, American Finance Association, vol. 61(5), pages 2219-2250, October.
- Jan ERICSSON & Olivier RENAULT, 2001. "Liquidity and Credit Risk," FAME Research Paper Series rp42, International Center for Financial Asset Management and Engineering.
1999
- Ericsson, Jan & Reneby, Joel, 1999. "A Note on Contingent Claims Pricing with Non-Traded Assets," SSE/EFI Working Paper Series in Economics and Finance 314, Stockholm School of Economics, revised 01 Jul 2002.
1996
- Ericsson, Jan & Reneby, Joel, 1996.
"Stock Options as Barrier Contingent Claims,"
SSE/EFI Working Paper Series in Economics and Finance
137, Stockholm School of Economics, revised Sep 2002.
- Jan Ericsson & Joel Reneby, 2003. "Stock options as barrier contingent claims," Applied Mathematical Finance, Taylor & Francis Journals, vol. 10(2), pages 121-147.
1995
- Ericsson, Jan & Reneby, Joel, 1995.
"A Framework for Valuing Corporate Securities,"
SSE/EFI Working Paper Series in Economics and Finance
89, Stockholm School of Economics, revised 03 Dec 1998.
- Jan Ericsson & Joel Reneby, 1998. "A framework for valuing corporate securities," Applied Mathematical Finance, Taylor & Francis Journals, vol. 5(3-4), pages 143-163.
Journal articles
2009
- Ericsson, Jan & Jacobs, Kris & Oviedo, Rodolfo, 2009.
"The Determinants of Credit Default Swap Premia,"
Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 44(1), pages 109-132, February.
- Ericsson, Jan & Jacobs, Kris & Oviedo-Helfenberger, Rodolfo, 2004. "The Determinants of Credit Default Swap Premia," SIFR Research Report Series 32, Institute for Financial Research.
- Jan Ericsson & Kris Jacobs & Rodolfo A. Oviedo, 2004. "The Determinants of Credit Default Swap Premia," CIRANO Working Papers 2004s-55, CIRANO.
2006
- Jan Ericsson & Olivier Renault, 2006.
"Liquidity and Credit Risk,"
Journal of Finance, American Finance Association, vol. 61(5), pages 2219-2250, October.
- Jan ERICSSON & Olivier RENAULT, 2001. "Liquidity and Credit Risk," FAME Research Paper Series rp42, International Center for Financial Asset Management and Engineering.
- Olivier Renault & Jan Ericsson, 2000. "Liquidity and Credit Risk," FMG Discussion Papers dp362, Financial Markets Group.
2005
- Jan Ericsson & Joel Reneby, 2005. "Estimating Structural Bond Pricing Models," The Journal of Business, University of Chicago Press, vol. 78(2), pages 707-735, March.
2003
- Jan Ericsson & Joel Reneby, 2003.
"Stock options as barrier contingent claims,"
Applied Mathematical Finance, Taylor & Francis Journals, vol. 10(2), pages 121-147.
- Ericsson, Jan & Reneby, Joel, 1996. "Stock Options as Barrier Contingent Claims," SSE/EFI Working Paper Series in Economics and Finance 137, Stockholm School of Economics, revised Sep 2002.
1998
- Jan Ericsson & Joel Reneby, 1998.
"A framework for valuing corporate securities,"
Applied Mathematical Finance, Taylor & Francis Journals, vol. 5(3-4), pages 143-163.
- Ericsson, Jan & Reneby, Joel, 1995. "A Framework for Valuing Corporate Securities," SSE/EFI Working Paper Series in Economics and Finance 89, Stockholm School of Economics, revised 03 Dec 1998.