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Simultaneous calibration to a range of portfolio credit derivatives with a dynamic discrete-time multi-step Markov loss model
Walker, Michael B. - In: International journal of theoretical and applied finance 12 (2009) 5, pp. 633-662
Persistent link: https://www.econbiz.de/10003899505
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An empirical analysis of the price discovery and the pricing bias in the KOSPI 200 stock index derivatives markets
Seung Oh Nam; SeungYoung Oh; Hyun Kyung Kim; Byung Chun Kim - In: International review of financial analysis 15 (2006) 4/5, pp. 398-414
Persistent link: https://www.econbiz.de/10003377253
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Particle methods for the estimation of credit portfolio loss distributions
Carmona, René; Crépey, Stéphane - In: International journal of theoretical and applied finance 13 (2010) 4, pp. 577-602
Persistent link: https://www.econbiz.de/10008905024
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A new framework for dynamic credit portfolio loss modelling
Sidenius, Jakob; Piterbarg, Vladimir; Andersen, Leif B. G. - In: International journal of theoretical and applied finance 11 (2008) 2, pp. 163-197
Persistent link: https://www.econbiz.de/10003703072
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Special issue on credit correlation : life after copulas
Lipton, Alexander (contributor) - 2007
Persistent link: https://www.econbiz.de/10003503331
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Pricing and hedging in a dynamic credit model
Elouerkhaoui, Youssef - In: International journal of theoretical and applied finance 10 (2007) 4, pp. 703-731
Persistent link: https://www.econbiz.de/10003503384
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Joint distributions of portfolio losses and exotic portfolio products
Epple, Friedel; Morgan, Sam; Schoegl, Lutz - In: International journal of theoretical and applied finance 10 (2007) 4, pp. 733-748
Persistent link: https://www.econbiz.de/10003503387
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Tracking errors from discrete hedging in exponential Lévy models
Brodén, Mats; Tankov, Peter - In: International journal of theoretical and applied finance 14 (2011) 6, pp. 803-837
Persistent link: https://www.econbiz.de/10009381005
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Asymmetries, causality and correlation between FTSE100 spot and futures : a DCC-TGARCH-M analysis
Tao, Juan; Green, Christopher J. - In: International review of financial analysis 24 (2012), pp. 26-37
Persistent link: https://www.econbiz.de/10009688185
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A quadratic hedging approach to comparison of catastrophe indices
Norberg, Ragnar; Savina, Oksana - In: International journal of theoretical and applied finance 15 (2012) 4, pp. 1-20
Persistent link: https://www.econbiz.de/10009624461