Инновации на финансовых рынках

Duffle D., Pedersen L., Singleton K. Modeling Sovereign Yield Spreads: A Case Study of Russian Debt // Journal of Finance. 2003. No. 58. P. 119.

Elizade A. Credit Risk Models I: Default Correlation in Intensity Models. CEMFI Working paper, 2006.

Hagan P., West G. Interpolation Methods for Yield Curve Construction. Working paper, 2004.

Hamilton D., Varma P., Ou S., Cantor R. Default and Recovery Rates of Corporate Bonds Issues. Moody’s Investor’s Services, 2005.

Hull J. C. Options, Futures, and other Derivatives. Pearson Education, 2006.

Hull J., White A. Valuing Credit Default Swaps I: No Counterparty Risk. Working paper, 2000.

Hull J., White A. The Valuation of Credit Default Swap Option // Journal of Derivatives. 2003. Vol. 10. No. 3. P. 40–50.

Hull J., White A. Valuing Credit Default Swaps II: Modeling Default Correlation // Journal of Derivatives. 2001. Vol. 8. No. 3. P. 12–22.

Hull J., Predescu M., White A. The Valuation of Correlation-dependent Credit Derivatives Using a Structural Model. Working paper, 2005.

IlmanenA. Market Rate Expectation and Forward Rates // Journal of Fixed Income. 1996. P. 8—22.

Jamshidan F. Valuation of Credit Default Swap and Swaption. Nib Capital. Working paper, 2002.

Jamshidan F. FIBOR and Market Model and Measures // Finance and Stochastic. 1997. Vol. 1. No. 4. P. 293–330.

Jarrow R., Furnbull S. Pricing Options on Derivative Securities Subject to Credit Risk // Journal of Finance. 1995. Vol. 1. P. 53–85.

Jarrow R., Yu. Counterparty Risk and the Pricing of Defaultable Securities // Journal of Finance. 2001. Vol. 61. P. 1765–1799.

Longstaff F.A., Schwartz E.S. A Simple Approach to Valuing Risky Fixed and Floating Rate Debt // Journal of Finance. 1995. Vol. 50. No. 3.

Madan D.B., Unal H. Pricing the Risk of Default // Review of Derivative Research. 1998. Vol. 2. No. 2/3. P. 121–160.

Merrick J.J. Crisis Dynamics of Implied Default Recovery Ratios: Evidence from Russia and Argentina//Journal of Banking and Finance. 2001. Vol. 20. No. 10. P. 1921–1939.

Merton R. On the Pricing of Corporate Debt: The Risk Structure of Interest Rates // Journal of Finance. 1974. Vol. 29. P. 449–470.

Neftci S.N. An Introduction of the Mathematics of Financial Derivatives. N.Y: Academic Press, 1996.

Nielsen L. F. Pricing and Hedgind of Derivative Securities. Oxford: Oxford University Press, 1999.

O’Kane D., Schloeg L. A Counterparty Risk Framework for Protection Buyers. Fehman Brothers Quantitative Credit Research, 2001.

O’Kane D., Furnbull S. Valuation of Credit Default Swaps. Fehman Brothers Quantitative Credit Research Quarterly, 2003.

Schonbucher P.J. Credit Derivatives Pricing Models. John Wiley & Sons, 2003.

Schonbucher P.J. A Libor Market Model With Default Risk. Working paper. Bonn University, 2000.

Schonbucher P.J. Credit Risk Modeling and Credit Derivatives. PhD thesis. Faculty of Economics, Bonn University, 2000.

Schonbucher P.J. Factor Models for Portfolio Credit Risk. Department of Statistics, Bonn University, 2000.

Schonbucher P.J. Pricing Credit Risk Derivatives. London School of Economics, Financial Marked Group. Working paper, 1997.

VasicekO.A., GongG. Term Structure Modeling Using Exponential Splines// Journal of Finance. 1982. Iss. 2. No. 37. P. 339–346.

Zhou C. An Analysis of Default Correlation and Multiple Defaults //Review of Financial Studies. 2001. Vol. 14. No. 2. P. 555–576.

Глава 7 Факторинг и форфейтинг: инновационное финансирование под обеспечение активами А.О. Солдатова

7.1. Объектное финансирование: торговое и структурированное финансирование