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Systemic risk : the effect of market confidence
Bichuch, Maxim; Chen, Ke - In: International journal of theoretical and applied finance 23 (2020) 7, pp. 1-39
Persistent link: https://www.econbiz.de/10012496805
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Asset allocation and asset pricing in the face of systemic risk : a literature overview and assessment
Meinerding, Christoph - In: International journal of theoretical and applied finance 15 (2012) 3, pp. 1-27
Persistent link: https://www.econbiz.de/10009624488
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Worst-case portfolio optimization in a market with bubbles
Belak, Christoph; Christensen, Sören; Menkens, Olaf - In: International journal of theoretical and applied finance 19 (2016) 2, pp. 1-36
Persistent link: https://www.econbiz.de/10011454368
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Defaultable term structures driven by semimartingales
Gümbel, Sandrine; Schmidt, Thorsten - In: International journal of theoretical and applied finance 24 (2021) 6/7, pp. 1-27
Persistent link: https://www.econbiz.de/10012807871
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A common market measure for libor and pricing caps, floors and swaps in a field theory of forward interest rates
Baaquie, Belal E. - In: International journal of theoretical and applied finance 8 (2005) 8, pp. 999-1018
Persistent link: https://www.econbiz.de/10003280030
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An efficient calibration method for the multi-factor LIBOR market model and its application to the Japanese market
Tanimura, Hidetoshi; Yamada, Yuji - In: International journal of theoretical and applied finance 9 (2006) 7, pp. 1123-1140
Persistent link: https://www.econbiz.de/10003395991
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A two-regime, stochastic-volatility extension of the libor market model
Rebonato, Riccardo; Kainth, Dherminder - In: International journal of theoretical and applied finance 7 (2004) 5, pp. 555-575
Persistent link: https://www.econbiz.de/10002171465
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Systematic generation of parametric correlation structures for the LIBOR market model
Schoenmakers, John; Coffey, Brian - In: International journal of theoretical and applied finance 6 (2003) 5, pp. 507-519
Persistent link: https://www.econbiz.de/10001787582
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Interbank credit risk modeling with self-exciting jump processes
Leunga, Charles Guy Njike; Hainaut, Donatien - In: International journal of theoretical and applied finance 23 (2020) 6, pp. 1-32
Persistent link: https://www.econbiz.de/10012496770
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Pricing interest rate derivatives under monetary changes
Genaro, Alan de; Avellaneda, Marco - In: International journal of theoretical and applied finance 21 (2018) 6, pp. 1-28
Persistent link: https://www.econbiz.de/10011926590