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CVA with wrong way risk : sensitivities, volatility and hedging
El Hajjaji, Omar; Subbotin, Alexander - In: International journal of theoretical and applied finance 18 (2015) 3, pp. 1-31
Persistent link: https://www.econbiz.de/10011403747
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On finite dimensional realizations for the term structure of futures prices
Björk, Tomas; Blix, Magnus; Landén, Camilla - In: International journal of theoretical and applied finance 9 (2006) 3, pp. 281-314
Persistent link: https://www.econbiz.de/10003344282
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Forward-rate volatilities and the swaption matrix : why neither time-homogeneity nor time-dependence are enough
Rebonato, Riccardo - In: International journal of theoretical and applied finance 9 (2006) 5, pp. 705-746
Persistent link: https://www.econbiz.de/10003378994
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Exact pricing with stochastic volatility and jumps
D'Ippoliti, Fernanda; Moretto, Enrico; Pasquali, Sara; … - In: International journal of theoretical and applied finance 13 (2010) 6, pp. 901-929
Persistent link: https://www.econbiz.de/10008905110
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A quasi-Monte Carlo algorithm for the normal inverse Gaussian distribution and valuation of financial derivatives
Benth, Fred Espen; Groth, Martin; Kettler, Paul C. - In: International journal of theoretical and applied finance 9 (2006) 6, pp. 843-867
Persistent link: https://www.econbiz.de/10003380284
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Hedging (co)variance risk with variance swaps
Fonseca, José da; Grasselli, Martino; Ielpo, Florian - In: International journal of theoretical and applied finance 14 (2011) 6, pp. 899-943
Persistent link: https://www.econbiz.de/10009380996
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Arbitrage-free valuation of bilateral counterparty risk for interest-rate products : impact of volatilities and correlations
Brigo, Damiano; Pallavicini, Andrea; Papatheodorou, … - In: International journal of theoretical and applied finance 14 (2011) 6, pp. 773-802
Persistent link: https://www.econbiz.de/10009381011
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Pricingcounterparty risk including collateralization, netting rules, re-hypothecation and wrong-way risk
Brigo, Damiano; Capponi, Agostino; Pallavicini, Andrea; … - In: International journal of theoretical and applied finance 16 (2013) 2, pp. 1-16
Persistent link: https://www.econbiz.de/10009748723
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Pricing joint claims on an asset and its realized variance in stochastic volatility models
Torricelli, Lorenzo - In: International journal of theoretical and applied finance 16 (2013) 1, pp. 1-18
Persistent link: https://www.econbiz.de/10009725085
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Volatility derivatives in market models with jumps
Lo, Harry; Mijatovi´c, Aleksandar - In: International journal of theoretical and applied finance 14 (2011) 7, pp. 1159-1193
Persistent link: https://www.econbiz.de/10009407653