Narrow search
Showing 1 - 10 of 88
Cover Image
A Markov copulae approach to pricing and hedging of credit index derivatives and ratings triggered step-up bonds
Bielecki, Tomasz R.; Vidozzi, Andrea; Vidozzi, Luca - In: The journal of credit risk : published quarterly by … 4 (2008/09) 1, pp. 47-76
Persistent link: https://www.econbiz.de/10003745400
Cover Image
An analytic derivation of admissible efficient frontier with borrowing
Zhang, Wei-guo; Wang, Ying-luo - In: European journal of operational research : EJOR 184 (2008) 1, pp. 229-243
Persistent link: https://www.econbiz.de/10003768188
Cover Image
Some models for deriving the priority weights from interval fuzzy preference relations
Xu, Zeshui; Chen, Jian - In: European journal of operational research : EJOR 184 (2008) 1, pp. 266-280
Persistent link: https://www.econbiz.de/10003768201
Cover Image
Recovering risk-neutral probability density functions from options prices using cubic splines and ensuring nonnegativity
Monteiro, Ana Margarida; Tütüncü, Reha H.; Vicente, … - In: European journal of operational research : EJOR 187 (2008) 2, pp. 525-542
Persistent link: https://www.econbiz.de/10003769344
Cover Image
Pricing synthetic CDO tranches in a model with default contagion using the matrix analytic approach
Herbertsson, Alexander - In: The journal of credit risk : published quarterly by … 4 (2008/09) 4, pp. 2-35
Persistent link: https://www.econbiz.de/10003806412
Cover Image
The systematic and idiosyncratic modules of bankruptcy risk
Parnes, Dror - In: The journal of credit risk : published quarterly by … 5 (2009/10) 1, pp. 25-46
Persistent link: https://www.econbiz.de/10003853282
Cover Image
An introduction to pricing correlation products using a pair-wise correlation matrix
Whitehill, Sam - In: The journal of credit risk : published quarterly by … 5 (2009/10) 1, pp. 97-110
Persistent link: https://www.econbiz.de/10003853302
Cover Image
Valuing CDOs of bespoke portfolios with implied multi-factor models
Rosen, Dan; Saunders, David M. - In: The journal of credit risk : published quarterly by … 5 (2009/10) 3, pp. 3-36
Persistent link: https://www.econbiz.de/10003903232
Cover Image
CDO pricing with expected loss parametric interpolation
Bernis, Guillaume - In: The journal of credit risk : published quarterly by … 5 (2009/10) 3, pp. 71-87
Persistent link: https://www.econbiz.de/10003903244
Cover Image
Double-t copula pricing structured credit products : practical aspects of a trustworthy implementation
Vrins, Frédéric D. - In: The journal of credit risk : published quarterly by … 5 (2009/10) 3, pp. 91-109
Persistent link: https://www.econbiz.de/10003903249