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A defaultable HJM modelling of the Libor rate for pricing Basis Swaps after the credit crunch
Fanelli, Viviana - In: European journal of operational research : EJOR 249 (2016) 1, pp. 238-244
Persistent link: https://www.econbiz.de/10011435817
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Liquidity tail risk and credit default swap spreads
Irresberger, Felix; Weiß, Gregor; Gabrysch, Janet; … - In: European journal of operational research : EJOR 269 (2018) 3, pp. 1137-1153
Persistent link: https://www.econbiz.de/10011866884
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An investigation of model risk in a market with jumps and stochastic volatility
Coqueret, Guillaume - In: European journal of operational research : EJOR 253 (2016) 3, pp. 648-658
Persistent link: https://www.econbiz.de/10011493990
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Model risk in the over-the-counter market
Lazar, Emese; Qi, Shuyuan - In: European journal of operational research : EJOR 298 (2022) 2, pp. 769-784
Persistent link: https://www.econbiz.de/10013206897
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Pricing of variance swap rates and investment decisions of variance swaps : evidence from a three-factor model
Hong, Yi; Jin, Xing - In: European journal of operational research : EJOR 303 (2022) 2, pp. 975-985
Persistent link: https://www.econbiz.de/10013364052
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Default probability estimation via pair copula constructions
Dalla Valle, Luciana; De Giuli, Maria Elena; Tarantola, … - In: European journal of operational research : EJOR 249 (2016) 1, pp. 298-311
Persistent link: https://www.econbiz.de/10011435851
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Stable distributions, futures prices, and the measurement of trading performance
Cornew, Ronald W. - In: The journal of futures markets 4 (1984) 4, pp. 531-557
Persistent link: https://www.econbiz.de/10001082393
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On exact and approximate stochastic dominance strategies for portfolio selection
Bruni, Renato; Cesarone, Francesco; Scozzari, Andrea; … - In: European journal of operational research : EJOR 259 (2017) 1, pp. 322-329
Persistent link: https://www.econbiz.de/10011644989
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Adjusted Rényi entropic value-at-risk
Zou, Zhenfeng; Wu, Qinyu; Xia, Zichao; Hu, Taizhong - In: European journal of operational research : EJOR 306 (2023) 1, pp. 255-268
Persistent link: https://www.econbiz.de/10014276754
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First passage times in portfolio optimization : a novel nonparametric approach
Zsurkis, Gabriel; Nicolau, João; Rodrigues, Paulo M. M. - In: European journal of operational research : EJOR 312 (2024) 3, pp. 1074-1085
Persistent link: https://www.econbiz.de/10014456467