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Pricing derivatives with counterparty risk and collateralization : a fixed point approach
Kim, Jinbeom; Leung, Tim - In: European journal of operational research : EJOR 249 (2016) 2, pp. 525-539
Persistent link: https://www.econbiz.de/10011436733
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Copula sensitivity analysis for portfolio credit derivatives
Lei, Lei; Peng, Yijie; Fu, Michael; Hu, Jian-Qiang - In: European journal of operational research : EJOR 308 (2023) 1, pp. 455-466
Persistent link: https://www.econbiz.de/10014283065
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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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Pricing VXX option with default risk and positive volatility skew
Bao, Qunfang; Li, Shenghong; Gong, Donggeng - In: European journal of operational research : EJOR 223 (2012) 1, pp. 246-255
Persistent link: https://www.econbiz.de/10009613957
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Benchmarking forecast approaches for mortgage credit risk for forward periods
Luong, Thi Mai; Scheule, Harald - In: European journal of operational research : EJOR 299 (2022) 2, pp. 750-767
Persistent link: https://www.econbiz.de/10013207168
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Approximate value adjustments for European claims
Antonelli, Fabio; Ramponi, Alessandro; Scarlatti, Sergio - In: European journal of operational research : EJOR 300 (2022) 3, pp. 1149-1161
Persistent link: https://www.econbiz.de/10013207329
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CDS pricing with fractional Hawkes processes
Ketelbuters, John-John; Hainaut, Donatien - In: European journal of operational research : EJOR 297 (2022) 3, pp. 1139-1150
Persistent link: https://www.econbiz.de/10013263023
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Robust and sparse banking network estimation
Torri, Gabriele; Giacometti, Rosella; Paterlini, Sandra - In: European journal of operational research : EJOR 270 (2018) 1, pp. 51-65
Persistent link: https://www.econbiz.de/10011868914
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Robust portfolio selection problem under temperature uncertainty
Gülpınar, Nalân; Çanakoḡlu, Ethem - In: European journal of operational research : EJOR 256 (2017) 2, pp. 500-523
Persistent link: https://www.econbiz.de/10011612035