Valuing a liquidity discount

von Chen, Ren-Raw
Veröffentlicht in The journal of fixed income (2012)

A two-factor, preference-free model for interest rate sensitive claims

von Chen, Ren-Raw
Veröffentlicht in The journal of futures markets (1995)

Exact solutions for futures and European futures options on pure discount bonds

von Chen, Ren-Raw
Veröffentlicht in Journal of financial and quantitative analysis (1992)

Understanding and managing interest rate risks

von Chen, Ren-Raw
Veröffentlicht 1996

A simple multi-factor, time-dependent-parameter model for the term structure of interest rates

von Chen, Ren-Raw
Veröffentlicht in Review of quantitative finance and accounting (2002)

The valuation of compound options : a correction and an extension

von Chen, Ren-Raw
Veröffentlicht in The journal of derivatives (2015)

A closed-form solution to the liquidity discount problem : with an application to the liquidity crisis

von Chen, Ren-Raw
Veröffentlicht in The journal of fixed income (2015)

A non-parametric option pricing model : theory and empirical evidence

von Chen, Ren-Raw
Veröffentlicht in Review of quantitative finance and accounting (2005)

The valuation of default-triggered credit derivatives

von Chen, Ren-Raw
Veröffentlicht in Journal of financial and quantitative analysis (2003)

A universal lattice

von Chen, Ren-Raw
Veröffentlicht in Review of derivatives research (1999)

Maximum likelihood estimation for a multifactor equilibrium model of the term structure of interest rates

von Chen, Ren-Raw
Veröffentlicht in The journal of fixed income (1993)

The valuation of fixed income total return swaps

von Chen, Ren-Raw
Veröffentlicht in Handbook of finance ; Vol. 3: Valuation, financial modeling, and quantitative tools (2008)

Multi-factor Cox-Ingersoll-Ross models of the term structure : estimates and tests from a Kalman filter model

von Chen, Ren-Raw
Veröffentlicht in The journal of real estate finance and economics (2003)

Liquidity risk, reform of bank regulation, and risk management : editorial

von Wu, Ho-Mou
Veröffentlicht in Journal of banking & finance (2014)

Analytical bounds for Treasury bond futures prices

von Chen, Ren-Raw
Veröffentlicht in Review of quantitative finance and accounting (2012)

Pricing interest rate futures options with futures-style margining

von Chen, Ren-Raw
Veröffentlicht in The journal of futures markets (1993)

Pricing interest rate options in a two-factor Cox-Ingersoll-Ross model of the term structure

von Chen, Ren-Raw
Veröffentlicht in The review of financial studies (1992)

A note on forward price and forward measure

von Chen, Ren-Raw
Veröffentlicht in Review of quantitative finance and accounting (2002)

Interest rate options in multifactor Cox-Ingersoll-Ross models of the term structure

von Chen, Ren-Raw
Veröffentlicht in The journal of derivatives (1995)

Capital budgeting in continuous time, complete market economy

von Chen, Ren-Raw
Veröffentlicht in Advances in quantitative analysis of finance and accounting (2002)