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The Determinants of Credit Spread Changes.

by Pierre Collin-Dufresne , Robert S Goldstein , J Spencer Martin , Gurdip Bakshi , Greg Bauer , Dave Brown , Francesca Carrieri , Peter Christoffersen , Susan Christoffersen , Greg Duffee , Darrell Duffie , Vihang Errunza , Gifford Fong , Mike Gallmeyer , Laurent Gauthier , Rick Green , John Griffin , Jean Helwege , Kris Jacobs , Chris Jones , Andrew Karolyi , Dilip Madan , David Mauer , Erwan Morellec , Federico Nardari , N R Prabhala , Tony Sanders , Sergei Sarkissian , Bill Schwert , Ken Singleton , Chester Spatt , René Stulz - Journal of Finance , 2001
"... ABSTRACT Using dealer's quotes and transactions prices on straight industrial bonds, we investigate the determinants of credit spread changes. Variables that should in theory determine credit spread changes have rather limited explanatory power. Further, the residuals from this regression are ..."
Abstract - Cited by 422 (2 self) - Add to MetaCart
-quadratic regression σ(K) = a + bK + cK 2 , where K is the strike price. Our estimate of this slope, jump t , is defined via where F is the at-the money strike price, which equals the current futures price. We choose to look at the implied volatility at K = .9F because we do not want 6 to extrapolate the quadratic

THE INTEGRAL COHOMOLOGY RING OF E8/T

by unknown authors
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Approximation Algorithms for Projective Clustering

by Pankaj K. Agarwal, Cecilia M. Procopiuc - Proceedings of the ACM SIGMOD International Conference on Management of data, Philadelphia , 2000
"... We consider the following two instances of the projective clustering problem: Given a set S of n points in R d and an integer k ? 0; cover S by k hyper-strips (resp. hyper-cylinders) so that the maximum width of a hyper-strip (resp., the maximum diameter of a hyper-cylinder) is minimized. Let w ..."
Abstract - Cited by 302 (22 self) - Add to MetaCart
(n 2=3 k 8=3 log 4 n). We also propose another algorithm that computes a c...

Disthbution IJnli~nited CONTRACT TITLE: THEORETICAL STUDIES OF HIGH-POWER ULTRAVIOLET AND INFRARED MATERIALS

by H. Vora, M. Flannery, P Ltr, F I , 1978
"... ~f d1400 Wilson Boulevard nc assi ie ..."
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~f d1400 Wilson Boulevard nc assi ie

1 Interference Channel with an Out-of-Band Relay

by Onur Sahin, Osvaldo Simeone, Elza Erkip
"... Abstract—A Gaussian interference channel (IC) with a relay is considered. The relay is assumed to operate over an orthogonal band with respect to the underlying IC, and the overall system is referred to as IC with an out-of-band relay (IC-OBR). The system can be seen as operating over two parallel i ..."
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Abstract—A Gaussian interference channel (IC) with a relay is considered. The relay is assumed to operate over an orthogonal band with respect to the underlying IC, and the overall system is referred to as IC with an out-of-band relay (IC-OBR). The system can be seen as operating over two parallel

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by Shizuo Kaji, Masaki Nakagawa
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1 The Limit of the Boltzmann Equation to the Euler Equations for Riemann Problems

by Feimin Huang, Yi Wang, Yong Wang, Tong Yang
"... ar ..."
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unknown title

by Hiroshi Miki, Sarah Post, Luc Vinet, Alexei Zhedanov
"... ar ..."
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Homogeneous Boltzmann equation in quantum

by Miguel Escobedo, Stéphane Mischler, Manuel A. Valle
"... relativistic kinetic theory ∗ ..."
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relativistic kinetic theory ∗

ENTROPY MAXIMISATION PROBLEM FOR QUANTUM AND RELATIVISTIC PARTICLES

by unknown authors
"... In this paper we are interested in the maximisation problem for the quantum or non-quantum entropy functional (1.1) H(g):= ..."
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In this paper we are interested in the maximisation problem for the quantum or non-quantum entropy functional (1.1) H(g):=
Results 1 - 10 of 4,069