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Browsing by Author Subrahmanyam, Marti G.

Showing results 1 to 20 of 40
Issue DateTitleAuthor(s)
4-Oct-1996An Analytic Approach to the Valuation of American Path Dependent OptionsGao, Bin; Huang, Jing-zhi; Subrahmanyam, Marti G.
5-May-1998An Arbitrage-free Two-factor Model of the Term Structure of Interest Rates: A Multivariate Binomial ApproachSubrahmanyam, Marti G.; Peterson, Sandra; Stapleton, Richard C.
9-Jan-2012Background Risk and Trading in a Full-Information Rational Expectations EconomySubrahmanyam, Marti G.; Stapleton, Richard C.; Zeng, Qi
Dec-1994Correlation Risk, Cross-Market Derivative Products, and Portfolio PerformanceHo, T.S.; Stapleton, Richard C.; Subrahmanyam, Marti G.
Apr-1998Coupon Effects and the Pricing of Japanese Government Bonds: An Empirical AnalysisEom, Young Ho; Subrahmanyam, Marti G.; Uno, Jun
Mar-2000Credit Risk and the Pricing of Japanese Yen Interest Rate SwapsSubrahmanyam, Marti G.; Eom, Young Ho; Uno, Jun
Jul-2000Credit Risk and the Yen Interest Rate Swap MarketEom, Young Ho; Subrahmanyam, Marti G.; Uno, Jun
Jul-2001Credit Risk and the Yen Interest Rate Swap MarketEom, Young Ho; Subrahmanyam, Marti G.; Uno, Jun
Jul-2000Credit Risk and the Yen Interest Rate Swap MarketEom, Young Ho; Subrahmanyam, Marti G.; Uno, Jun
9-Jan-2012Does the Tail Wag the Dog? The Effect of Credit Default Swaps on Credit RiskSubrahmanyam, Marti G.; Tang, Dragon Yongjun; Wang, Sarah Qian
Apr-1998An Empirical Examination of the Convexity Bias in the Pricing of Interest Rate SwapsSubrahmanyam, Marti G.; Gupta, Anurag
Feb-1999An Empirical Examination of the Convexity Bias in the Pricing of Interest Rate SwapsGupta, Anurag; Subrahmanyam, Marti G.
Sep-2001An Examination of the Static and Dynamic Performance of Interest Rate Option Pricing Models In the Dollar Cap-Floor MarketsGupta, Anurag; Subrahmanyam, Marti G.
9-Jan-2012Illiquidity or credit deterioration: A study of liquidity in the US corporate bond market duringSubrahmanyam, Marti G.; Jankowitsch, Rainer; Friewald, Nils
3-Oct-2005Intermediation and Value Creation in an Incomplete Market: Implications for SecuritizationGaur, Vishal; Seshadri, Sridhar; Subrahmanyam, Marti G.
16-Nov-2007Latent Liquidity and Corporate Bond Yield SpreadsNashikkar, Amrut; Subrahmanyam, Marti G.; Mahanti, Sriketan
Nov-2006Latent Liquidity: A New Measure of Liquidity, with an Application to Corporate BondsMahanti, Sriketan; Nashikkar, Amrut; Subrahmanyam, Marti G.; Chacko, George
1994Multivariate Binomial Approximations for Asset Prices with Non-Stationary Variance and Covariance CharacteristicsHo, Teng-Suan; Stapleton, Richard C.; Subrahmanyam, Marti G.
20-Jun-1995Pricing and Hedging American Options: A Recursive Integration MethodHuang, Jing-zhi; Subrahmanyam, Marti G.; Yu, George G.
7-Feb-1997The Pricing of Market-to-Market Contingent Claims in a No-Arbitrage EconomySatchell, Stephen E.; Stapleton, Richard C.; Subrahmanyam, Marti G.
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