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Applied Mathematical Finance Volume 8, 2001 - Issue 2
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Original Articles

Liquidity and credit risk

Umberto Cherubini Department of Mathematical Economics, University of Bologna, Viale Filopanti 5, 40126 Bologna, Italy
&
Giovanni Della Lunga Polyhedron Computational Finance, Florence, Italy
Pages 79-95 | Published online: 14 Oct 2010

Citations (17)

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Elisa Luciano & Wim Schoutens. (2006) A multivariate jump-driven financial asset model. Quantitative Finance 6:5, pages 385-402.
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Articles from other publishers (16)

Jorge de Andrés-Sánchez. (2023) A systematic review of the interactions of fuzzy set theory and option pricing. Expert Systems with Applications 223, pages 119868.
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Rintu Anthony & Krishna Prasanna. (2023) Rippling effect of liquidity risk in the sovereign term structure. The Journal of Risk Finance 24:4, pages 503-522.
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Mei Cai, Li Yan, Zaiwu Gong & Guo Wei. (2020) A Voting Mechanism Designed for Talent Shows in Mass Media: Weighted Preference of Group Decision Makers in Social Networks Using Fuzzy Measures and Choquet Integral. Group Decision and Negotiation 30:6, pages 1261-1284.
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Umberto Cherubini & Sabrina Mulinacci. (2021) Extensions and distortions of λ-fuzzy measures. Fuzzy Sets and Systems 412, pages 27-40.
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Marcello Minenna. 2016. The Incomplete Currency: The Future of the Euro and Solutions for the Eurozone. The Incomplete Currency: The Future of the Euro and Solutions for the Eurozone 463 494 .
. 2012. Structured Finance. Structured Finance 177 202 .
Hulusi Inanoglu & Michael JacobsJr.Jr.. (2009) Models for Risk Aggregation and Sensitivity Analysis: An Application to Bank Economic Capital. Journal of Risk and Financial Management 2:1, pages 118-189.
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Yu-hong Liu. (2009) Pricing fuzzy vulnerable options and risk management. Expert Systems with Applications 36:10, pages 12188-12199.
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Elettra Agliardi & Rossella Agliardi. (2009) Fuzzy defaultable bonds. Fuzzy Sets and Systems 160:18, pages 2597-2607.
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Ya-Qiong Pan. (2007) A Study on Evaluation of Consumer Credit's Risks of Commercial Banks. A Study on Evaluation of Consumer Credit's Risks of Commercial Banks.
Liyan Han & Chengli Zheng. (2005) Fuzzy options with application to default risk analysis for municipal bonds in China. Nonlinear Analysis: Theory, Methods & Applications 63:5-7, pages e2353-e2365.
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S. Muzzioli & C. Torricelli. (2005) The pricing of options on an interval binomial tree. An application to the DAX-index option market. European Journal of Operational Research 163:1, pages 192-200.
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Umberto Cherubini, Elisa Luciano & Walter Vecchiato. 2004. Copula Methods in Finance. Copula Methods in Finance 281 287 .
Matt G. Pritsker. (2005) Large Investors: Implications for Equilibrium Asset, Returns, Shock Absorption, and Liquidity. SSRN Electronic Journal.
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Matteo Manera & Umberto Cherubini. (2005) Hunting the Living Dead: A 'Peso Problem' in Corporate Liabilities Data. SSRN Electronic Journal.
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Umberto Cherubini & Elisa Luciano. (2002) Pricing Vulnerable Options with Copulas. SSRN Electronic Journal.
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