Search results
Results: 30
Number of items: 30
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Cremers, K. J. M., Driessen, J., & Maenhout, P. (2008). Explaining the level of credit spreads: Option-implied jump risk premia in a firm value model. The Review of Financial Studies, 21(5), 2209-2242. https://doi.org/10.1093/rfs/hhn071
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Cremers, M., Driessen, J., Maenhout, P., & Weinbaum, D. (2008). Individual stock-option prices and credit spreads. Journal of Banking & Finance, 32(12), 2706-2715. https://doi.org/10.1016/j.jbankfin.2008.07.005 -
Driessen, J., & Perotti, E. (2006). Confidence building on Euro convergence: theory and evidence from cross-rate options. (Working Paper Universiteit van Amsterdam). Faculteit Economie en Bedrijfskunde. http://www1.fee.uva.nl/pp/bin/323fulltext.pdf
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Driessen, J., & Maenhout, P. (2006). The world price of jump and volatility risk. (Working Paper Universiteit van Amsterdam). Faculteit Economie en Bedrijfskunde. http://www1.fee.uva.nl/pp/bin/321fulltext.pdf -
de Jong, F., Driessen, J., & Pelsser, A. (2004). On the Information in the Interest Rate Term Structure and Option Prices. Review of Derivatives Research, 7(2), 99-127. https://doi.org/10.1023/B:REDR.0000031175.79497.7f
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Driessen, J. J. A. G., Klaassen, P., & Melenberg, B. (2003). The Performance of Multi-Factor Term Structure Models for Pricing and Hedging Caps and Swaptions. Journal of Financial and Quantitative Analysis, 38(3), 635-672. https://doi.org/10.2307/4126735
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Driessen, J. J. A. G., Melenberg, B., & Nijman, TH. E. (2003). Common Factors in International Bond Returns. Journal of International Money and Finance, 22(5), 629-656. https://doi.org/10.1016/S0261-5606(03)00046-9
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