Approximate Derivative Pricing for Large Classes of Homogeneous Assets with Systematic Risk
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- Patrick Gagliardini & Christian Gouriéroux, 2011. "Approximate Derivative Pricing for Large Classes of Homogeneous Assets with Systematic Risk," Journal of Financial Econometrics, Society for Financial Econometrics, vol. 9(2), pages 237-280, Spring.
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- Fermanian, Jean-David, 2014. "The limits of granularity adjustments," Journal of Banking & Finance, Elsevier, vol. 45(C), pages 9-25.
- Jean-David Fermanian, 2013. "The Limits of Granularity Adjustments," Working Papers 2013-27, Center for Research in Economics and Statistics.
- Gordy, Michael B. & Marrone, James, 2012.
"Granularity adjustment for mark-to-market credit risk models,"
Journal of Banking & Finance,
Elsevier, vol. 36(7), pages 1896-1910.
- Michael B. Gordy & James Marrone, 2010. "Granularity adjustment for mark-to-market credit risk models," Finance and Economics Discussion Series 2010-37, Board of Governors of the Federal Reserve System (U.S.).
- M. B. Gordy & E. Lutkebohmert, 2013. "Granularity Adjustment for Regulatory Capital Assessment," International Journal of Central Banking, International Journal of Central Banking, vol. 9(3), pages 38-77, September.
- Serge Darolles & Christian Gouriéroux & Emmanuelle Jay, 2012. "Robust Portfolio Allocation with Systematic Risk Contribution Restrictions," Working Papers 2012-35, Center for Research in Economics and Statistics.
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NEP fieldsThis paper has been announced in the following NEP Reports:
- NEP-ALL-2011-03-19 (All new papers)
- NEP-BAN-2011-03-19 (Banking)
- NEP-BEC-2011-03-19 (Business Economics)
- NEP-RMG-2011-03-19 (Risk Management)
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