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Pierre Collin Dufresne

  • Can interest rate volatility be extracted from the cross section of bond yields?Can interest rate volatility be extracted from the cross section of bond yields?
  • Can interest rate volatility be extracted from the cross section of bond yields? an investigation of unspanned stochastic volatilityCan interest rate volatility be extracted from the cross section of bond yields? an investigation of unspanned stochastic volatility
  • On the relative pricing of long maturity S&P 500 index options and CDX tranchesOn the relative pricing of long maturity S&P 500 index options and CDX tranches