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11 research outputs found

OAS Analysis for CMOs

Author: Asness C.
Cheyette 0.
Oren Cheyette
Publication venue: 'Pageant Media US'
Publication date
Field of study

Empirical Credit Risk

Author: Oren Cheyette
Tim Tomaich
Publication venue: 'Elsevier BV'
Publication date: 01/01/2003
Field of study

Market Implied Ratings

Author: A P Liu
Duffie D
E Altman
K Giesecke
Lisa R. Goldberg
Ludovic L. Breger
O Cheyette
Oren Cheyette
R A Jarrow
R C Merton
Ratingsdirect Taylor
Salomon Smith Barney
Switzerland Basel
U S Strong Performance For
W H Greene
Publication venue: 'Elsevier BV'
Publication date: 01/01/2003
Field of study

Markov Representation of the Heath-Jarrow-Morton Model

Author: A Li
Bradley Efron
D Heath
F Black
F Jamshidian
G G Lorentz
J C Cox
J Hull
L U Dothan
O Cheyette
O Vasicek
Oren Cheyette
P H Dybvig
P Ritchken
R R Chen
T S Y Ho
Publication venue: 'Elsevier BV'
Publication date: 01/01/2001
Field of study

Vega Control

Author: A Brace
Alan L Andrew
Antoon Pelsser
C Bender
C Hunter
Damiano Brigo
J Niesen
Joanne E Kennedy
Leif B Andersen
M Giles
M S Joshi
Mark Joshi
Mark S. Joshi
Nick Denson
Oren Cheyette
P Christian
P J Hunt
Paul Glasserman
Raoul Pietersz
Roger Lord
Vladimir Piterbarg
Publication venue: 'Elsevier BV'
Publication date: 01/01/2009
Field of study

Efficient Factor Models For Yield Curve Dynamics

Author: Abramowitz Milton
Ait-Sahalia Yacine
Ang Andrew
Babbel David F.
Babbel David F.
Back Kerry
Back Kerry
BjöRk Tomas
Black Fischer
Black Fischer
Black Fischer
Brace Alan
Brennan Michael J.
Carverhill Andrew
Chen Lin
Chen Ren-Raw
Cheyette Oren
Cheyette Oren
Cheyette Oren
Constantinides George M.
Cox John
Cox John
Cox John
Delbaen Freddy
Delbaen Freddy
Dijkstra Theo K.
Duffie Darrell
Duffie Darrell
Harrison J.M.
Heath David
Ho Thomas S.Y.
Ho Thomas S.Y.
Hull John
Hull John
Ingersoll Jonathan E.
Ingersoll Jonathan E.
Inui K.
Jamshidian Farshid
Jamshidian Farshid
Karatzas Ioannis
Longstaff Francis
Malkiel Burton G.
Marsh Terry A.
Merton Robert C.
Merton Robert C.
Musiela Marek
Pedersen Hal W.
Pelsser Antoon
Rebonato Riccardo
Rebonato Riccardo
Ritchken Peter
Rogers Chris L.C.G.
Rogers Chris L.C.G.
Shiu Elias S.W.
Vasicek Oldrich A.
Vetzal Kenneth R.
Yan Hong
Yao Yong
Yao Yong
Øksendal Bernt
Publication venue: 'Informa UK Limited'
Publication date
Field of study

Asset Pricing with Cohort-Based Trading in MBS Markets

Author: Alexander Belikoff
Chernov
Chodorow-Reich
Christopher Downing
David Easley
Diep
Frank Fabozzi
Frbny
G A Akerlof
Haoyang Liu
Hendrik Bessembinder
Jacob Boudoukh
Jefferson Duarte
Jefferspm Duarte
Josh Frost
Kenneth B Dunn
Kenneth Dunn
Leonardo Bartolini
Michael J Brennan
Nicola Fusari
Nils Friewald
Nina Boyarchenko
Oren Cheyette
Si Chen
Wei Li
Xavier Gabaix
Yakov Amihud
Yongheng Deng
Yu An
Zhaogang Song
Publication venue: 'Elsevier BV'
Publication date: 01/01/2020
Field of study

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