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Credit derivatives in banking : useful tools for managing risk?
Duffee, Greg - 1997
Persistent link: https://www.econbiz.de/10000962036
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Understanding the risk of synthetic CDOs
Gibson, Michael S. - 2004
Persistent link: https://www.econbiz.de/10002117790
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Pricing counterparty risk at the trade level and CVA allocations
Pykhtin, Michael; Rosen, Dan - 2010
Persistent link: https://www.econbiz.de/10003968245
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Local risk-minimization for Lévy markets
Arai, Takuji; Suzuki, Ryoichi - In: International journal of financial engineering 2 (2015) 2, pp. 1-28
Persistent link: https://www.econbiz.de/10011333451
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Static models of central counterparty risk
Ghamami, Samim - In: International journal of financial engineering 2 (2015) 2, pp. 1-36
Persistent link: https://www.econbiz.de/10011333478
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A sharp approximation for ATM-forward option prices and implied volatilites
Stefanica, Dan; Radoičić, Radoš - In: International journal of financial engineering 3 (2016) 1, pp. 1-24
Persistent link: https://www.econbiz.de/10011532749
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Price impacts of imperfect collateralization
Shiraya, Kenichiro; Takahashi, Akihiko - In: International journal of financial engineering 3 (2016) 1, pp. 1-31
Persistent link: https://www.econbiz.de/10011532751
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Short maturity options for Azéma-Yor martingales
Zhu, Lingjiong - In: International journal of financial engineering 2 (2015) 4, pp. 1-32
Persistent link: https://www.econbiz.de/10011493322
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Does model misspecification matter for hedging? : a computational finance experiment based approach
Sun, Youfa; Yuan, George; Guo, Shimin; Liu, Jianguo; … - In: International journal of financial engineering 2 (2015) 3, pp. 1-21
Persistent link: https://www.econbiz.de/10011403136
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Measuring counterparty credit exposure to a margined counterparty
Gibson, Michael S. - 2005
Persistent link: https://www.econbiz.de/10003187319