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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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On the approximation of the SABR model : a probabilistic approach
Kennedy, Joanne E.; Mitra, Subhankar; Pham, Duy - In: Applied mathematical finance 19 (2012) 5/6, pp. 553-586
Persistent link: https://www.econbiz.de/10009710926
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On the approximation of the SABR with mean reversion model : a probabilistic approach
Kennedy, Joanne E.; Pham, Duy - In: Applied mathematical finance 21 (2014) 5/6, pp. 451-481
Persistent link: https://www.econbiz.de/10010500879
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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