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Quantitative finance
Management science : journal of the Institute for Operations Research and the Management Sciences
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Estimating a covariance matrix for market risk management and the case of credit default swaps
Neuberg, Richard
;
Glasserman, Paul
- In:
Quantitative finance
19
(
2019
)
1
,
pp. 77-92
Persistent link: https://www.econbiz.de/10012194621
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Buy rough, sell smooth
Glasserman, Paul
;
He, Pu
- In:
Quantitative finance
20
(
2020
)
3
,
pp. 363-378
Persistent link: https://www.econbiz.de/10012194871
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W-shaped implied volatility curves and the Gaussian mixture model
Glasserman, Paul
;
Pirjol, Dan
- In:
Quantitative finance
23
(
2023
)
4
,
pp. 557-577
Persistent link: https://www.econbiz.de/10014304265
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