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~isPartOf:"Applied mathematical finance"
~isPartOf:"Der Aktuar; (2002) 1"
~person:"Albrecht, Peter"
~person:"Lucas, André"
~person:"Peydró, José-Luis"
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A Simple Credit Risk Model wit...
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Albrecht, Peter
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Applied mathematical finance
Der Aktuar; (2002) 1
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Tail behaviour of credit loss distributions for general latent factor models
Lucas, André
;
Klaassen, Pieter
;
Spreij, Peter
; …
- In:
Applied mathematical finance
10
(
2003
)
4
,
pp. 337-357
Persistent link: https://www.econbiz.de/10001864390
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Portfolioselektion mit Shortfallrisikomaßen
Albrecht, Peter
-
2001
Die klassische, von Markowitz entwickelte, Portfoliotheorie basiert auf spezifischen Risikomaßen, der Renditevarianz bzw. der Renditestandardabweichung. Diese Risikomaße messen primär die Volatilität der Renditeentwicklung...
Persistent link: https://www.econbiz.de/10005842338
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3
Hedging large portfolios of options in discrete time
Peeters, B.
;
Dert, C. L.
;
Lucas, André
- In:
Applied mathematical finance
15
(
2008
)
3/4
,
pp. 251-275
Persistent link: https://www.econbiz.de/10003751253
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