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Grzelak, Lech A.
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Oosterlee, Cornelis Willebrordus
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Casamassima, Emanuele
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Pricing and hedging prepayment risk in a mortgage portfolio
Casamassima, Emanuele
;
Grzelak, Lech A.
;
Mulder, Frank A.
; …
- In:
International journal of theoretical and applied …
25
(
2022
)
4/5
,
pp. 1-37
Persistent link: https://www.econbiz.de/10013371214
Saved in:
2
Cheapest-to-deliver collateral : a common factor approach
Wolf, Felix Lukas
;
Grzelak, Lech A.
;
Deelstra, Griselda
- In:
Quantitative finance
22
(
2022
)
4
,
pp. 707-723
Persistent link: https://www.econbiz.de/10013367854
Saved in:
3
Relevance of wrong-way risk in funding valuation adjustments
Zwaard, Thomas van der
;
Grzelak, Lech A.
;
Oosterlee, …
- In:
Finance research letters
49
(
2022
),
pp. 1-8
Persistent link: https://www.econbiz.de/10013478834
Saved in:
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