References

A copy of this references list will be maintained on the website for this book, with ongoing updates to the Internet sites referenced.

Acharya, Viral, Matthew Richardson, Stijn van Nieuwerburgh, and Lawrence White. 2011. Guaranteed to Fail. Princeton, NJ: Princeton University Press.

Agrawal, Deepak, Navneet Arora, and Jeffrey Bohn. 2004. “Parsimony in Practice, and EDF-Based Model of Credit Spreads.” Moody's KMV. www.moodysanalytics.com/~/media/Insight/Quantitative-Research/Credit-Valuation/04-29-04-Parsi-mony-in-Practice.ashx.

Allen, Peter, Stephen Einchcomb, and Nicholas Granger. 2006. “Variance Swaps.” J.P. Morgan Securities European Equity Derivatives Research Investment Strategies no. 28.

Allen, Steven, and Otello Padovani. 2002. “Risk Management Using Quasi-Static Hedging.” Economic Notes 31 (2): 277–336.

Almgren, Robert, and Neil Chriss. 2001. “Optimal Execution of Portfolio Transactions.” Journal of Risk 3 (2): 5–39.

Altman, Edward, Neil Fargher, and Egon Kalotay. 2010. “A Simple Empirical Model of Equity-Implied Probabilities of Default.” http://pages.stern.nyu.edu/~ealtman/DefaultModel2010JFI.pdf.

Altman, Edward, and Egon Kalotay. 2010. “A Flexible Approach to Modeling Ultimate Recoveries on Defaulted Loans and Bonds.” http://pages.stern.nyu.edu/~ealtman/FlexibleRecovery_v1.1.pdf.

Altman, Edward, Andrea Resti, and Andrea Sironi. 2001. “Analyzing and Explaining Default Recovery Rates.” www.defaultrisk.com/pp_recov_28.htm.

Amato, Jeffery, and Eli Remolona. 2003. ...

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