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Risk Analysis of Collateralized Debt Obligations
Giesecke, Kay; Kim, Baeho - In: Operations research : the journal of the Operations … 59 (2011) 1, pp. 32-50
Persistent link: https://www.econbiz.de/10008887259
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Exact Simulation of Point Processes with Stochastic Intensities
Giesecke, K.; Kakavand, H.; Mousavi, M. - In: Operations research : the journal of the Operations … 59 (2011) 5, pp. 1233-1246
Persistent link: https://www.econbiz.de/10009804875
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Exact Sampling of Jump Diffusions
Giesecke, Kay; Smelov, Dmitry - In: Operations research : the journal of the Operations … 61 (2013) 4, pp. 894-907
Persistent link: https://www.econbiz.de/10010171577
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Sequential Importance Sampling and Resampling for Dynamic Portfolio Credit Risk
Deng, Shaojie; Giesecke, Kay; Lai, Tze Leung - In: Operations research : the journal of the Operations … 60 (2012) 1, pp. 78-92
Persistent link: https://www.econbiz.de/10009845460
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A Top-Down Approach to Multiname Credit
Giesecke, Kay; Goldberg, Lisa R.; Ding, Xiaowei - In: Operations research : the journal of the Operations … 59 (2011) 2, pp. 283-301
Persistent link: https://www.econbiz.de/10009264540
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Time-Changed Birth Processes and Multiname Credit Derivatives
Ding, Xiaowei; Giesecke, Kay; Tomecek, Pascal I. - In: Operations research : the journal of the Operations … 57 (2009) 4, pp. 990-1005
Persistent link: https://www.econbiz.de/10008300909