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A multivariate default model with spread and event risk
Mai, Jan-Frederik; Olivares, Pablo; Schenk, Steffen; … - In: Applied mathematical finance 21 (2014) 1/2, pp. 51-83
Persistent link: https://www.econbiz.de/10010351857
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Computing the volume of n-dimensional copulas
Cherubini, Umberto; Romagnoli, Silvia - In: Applied mathematical finance 16 (2009) 3/4, pp. 307-314
Persistent link: https://www.econbiz.de/10003916180
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Modelling credit default swap spreads by means of normal mixtures and copulas
Bee, Marco - In: Applied mathematical finance 11 (2004) 2, pp. 125-146
Persistent link: https://www.econbiz.de/10002085490
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Bivariate option pricing with copulas
Cherubini, Umberto; Luciano, Elisa - In: Applied mathematical finance 9 (2002) 2, pp. 69-85
Persistent link: https://www.econbiz.de/10001695018
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A copula-based Markov reward approach to the credit spread in the European Union
D'Amico, Guglielmo; Petroni, Filippo; Regnalt, Philippe; … - In: Applied mathematical finance 26 (2019) 4, pp. 359-386
Persistent link: https://www.econbiz.de/10012210396
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Optimal expected-shortfall portfolio selection with copula-induced dependence
Gijbels, Irène; Herrmann, Klaus - In: Applied mathematical finance 25 (2018) 1/2, pp. 66-106
Persistent link: https://www.econbiz.de/10011959117
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High-dimensional statistical arbitrage with factor models and stochastic control
Guijarro-Ordonez, Jorge - In: Applied mathematical finance 26 (2019) 4, pp. 328-358
Persistent link: https://www.econbiz.de/10012210319
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A mathematical analysis of technical analysis
Lorig, Matthew; Zhou, Zhou; Zou, Bin - In: Applied mathematical finance 26 (2019) 1, pp. 38-68
Persistent link: https://www.econbiz.de/10012210259
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A dynamic binormal expansion technique for credit risk measurement : a Bayesian filtering approach
Woo, Wing Hoe; Siu, Tak Kuen - In: Applied mathematical finance 11 (2004) 2, pp. 165-186
Persistent link: https://www.econbiz.de/10002085494
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The European options hedge perfectly in a Poisson-Gaussian stock market model
Mancini, C. - In: Applied mathematical finance 9 (2002) 2, pp. 87-102
Persistent link: https://www.econbiz.de/10001695080