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~accessRights:"restricted"
~isPartOf:"Applied mathematical finance"
~isPartOf:"Risks : open access journal"
~isPartOf:"The journal of computational finance"
~isPartOf:"The review of financial studies"
~subject:"Credit risk"
~type_genre:"Aufsatz in Zeitschrift"
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Search: subject_exact:"Optionspreistheorie"
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Credit risk
Option pricing theory
164
Optionspreistheorie
164
Stochastic process
89
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89
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60
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60
Option trading
44
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stochastic volatility
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option pricing
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Jain, Shashi
2
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Chen, Yuwei
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Applied mathematical finance
Risks : open access journal
The journal of computational finance
The review of financial studies
The North American journal of economics and finance : a journal of financial economics studies
9
International journal of financial engineering
8
Review of derivatives research
8
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Mathematical finance : an international journal of mathematics, statistics and financial economics
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Mathematical finance : an international journal of mathematics, statistics and financial theory
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The journal of credit risk : published quarterly by Incisive Media
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Advances in Pacific Basin business, economics, and finance
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1
Penalty methods for bilateral XVA pricing in European and American contingent claims by a partial differential equation model
Chen, Yuwei
;
Christara, Christiana C.
- In:
The journal of computational finance
24
(
2021
)
4
,
pp. 41-70
Persistent link: https://www.econbiz.de/10012544162
Saved in:
2
A structural approach to default modelling with pure jump processes
Aguilar, Jean-Philippe
;
Pesci, Nicolas
;
James, Victor
- In:
Applied mathematical finance
28
(
2021
)
1
,
pp. 48-78
Persistent link: https://www.econbiz.de/10012625981
Saved in:
3
Gaussian process regression for derivative portfolio modeling and application to credit valuation adjustment computations
Crépey, Stéphane
;
Dixon, Matthew F.
- In:
The journal of computational finance
24
(
2020
)
1
,
pp. 47-81
Persistent link: https://www.econbiz.de/10012421957
Saved in:
4
Hedging the risk of delayed data in defaultable markets
Okhrati, Ramin
- In:
Applied mathematical finance
26
(
2019
)
2
,
pp. 101-130
Persistent link: https://www.econbiz.de/10012210262
Saved in:
5
Sovereign CDS calibration under a hybrid sovereign risk model
Diop, Sidy
;
Pascucci, Andrea
;
Francesco, Marco Di
; …
- In:
Applied mathematical finance
25
(
2018
)
3/4
,
pp. 336-360
Persistent link: https://www.econbiz.de/10012129157
Saved in:
6
Modelling credit risk in the jump threshold framework
Chiu, Chun-Yuan
;
Kercheval, Alec
- In:
Applied mathematical finance
25
(
2018
)
5/6
,
pp. 411-433
Persistent link: https://www.econbiz.de/10012129172
Saved in:
7
Efficient estimation of sensitivities for counterparty credit risk with the finite difference Monte Carlo method
Graaf, Cornelis S. L. de
;
Kandhai, Drona
;
Sloot, Peter M. A.
- In:
The journal of computational finance
21
(
2017
)
1
,
pp. 83-113
Persistent link: https://www.econbiz.de/10011691615
Saved in:
8
Counterparty credit exposures for interest rate derivatives using the stochastic grid bundling method
Karlsson, Patrik
;
Jain, Shashi
;
Oosterlee, Cornelis …
- In:
Applied mathematical finance
23
(
2016
)
3/4
,
pp. 175-196
Persistent link: https://www.econbiz.de/10011704227
Saved in:
9
Efficient computation of exposure profiles on real-world and risk-neutral scenarios for Bermudan swaptions
Feng, Qian
;
Jain, Shashi
;
Karlsson, Patrik
;
Kandhai, Drona
- In:
The journal of computational finance
20
(
2016
)
1
,
pp. 139-172
Persistent link: https://www.econbiz.de/10011639641
Saved in:
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