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Dynamic hedging of synthetic CDO tranches with spread risk and default contagion
Frey, Rüdiger; Backhaus, Jochen - In: Journal of economic dynamics & control 34 (2010) 4, pp. 710-724
Persistent link: https://www.econbiz.de/10003966525
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Pricing of CDOs based on the multivariate Wang transform
Kijima, Masaaki; Motomiya, Shin-ichi; Suzuki, Yoichi - In: Journal of economic dynamics & control 34 (2010) 11, pp. 2259-2272
Persistent link: https://www.econbiz.de/10009008889
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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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Optimal derivative liquidation timing under path-dependent risk penalties
Leung, Tim; Shirai, Yoshihiro - In: Journal of financial engineering 2 (2015) 1, pp. 1-32
Persistent link: https://www.econbiz.de/10010528389
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Pricing interest rate derivatives with model risk
Hosokawa, Satoshi; Matsumoto, Koichi - In: Journal of financial engineering 2 (2015) 1, pp. 1-18
Persistent link: https://www.econbiz.de/10010528390
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Comparison of commodity future pricing approaches with cointegration techniques
Stepanek, Christian - In: Journal of financial engineering 2 (2015) 1, pp. 1-31
Persistent link: https://www.econbiz.de/10010528391
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Practical policy iteration : generic methods for obtaining rapid and tight bounds for Bermudan exotic derivatives using Monte Carlo simulation
Beveridge, Christopher; Joshi, Mark S.; Tang, Robert - In: Journal of economic dynamics & control 37 (2013) 7, pp. 1342-1361
Persistent link: https://www.econbiz.de/10009751160
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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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Financial innovation and bank behavior : evidence from credit markets
Norden, Lars; Silva Buston, Consuelo; Wagner, Wolf - In: Journal of economic dynamics & control 43 (2014), pp. 130-145
Persistent link: https://www.econbiz.de/10010470135