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How to choose the return model for market risk? : getting towards a right magnitude of stressed VaR
Lichtner, Mark - In: Quantitative finance 19 (2019) 8, pp. 1391-1407
Persistent link: https://www.econbiz.de/10012194794
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Centred expected shortfall (CES) : a traditional asset manager's view on decomposing downside investment risk
Kroon, Erik; Hacini, Mehdi-Vincent; Somefun, Koye - In: Quantitative finance 24 (2024) 1, pp. 83-104
Persistent link: https://www.econbiz.de/10014551942
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Multi-curve HJM modelling for risk management
Sabelli, Chiara; Pioppi, Michele; Sitzia, Luca; … - In: Quantitative finance 18 (2018) 4, pp. 563-590
Persistent link: https://www.econbiz.de/10011906436
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Efficient simulation methods for the Quasi-Gaussian term-structure model with volatility smiles : practical applications of the KLNV-scheme
Shinozaki, Yuji - In: Quantitative finance 21 (2021) 7, pp. 1147-1161
Persistent link: https://www.econbiz.de/10012588029
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Discrete time affine term structure models with squared Gaussian shocks (DTATSM-SGS)
Realdon, Marco - In: Quantitative finance 21 (2021) 8, pp. 1365-1386
Persistent link: https://www.econbiz.de/10012608653
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The Hull-White model under volatility uncertainty
Hölzermann, Julian - In: Quantitative finance 21 (2021) 11, pp. 1921-1933
Persistent link: https://www.econbiz.de/10012696796
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On the American swaption in the linear-rational framework
Filipović, Damir; Kitapbayev, Yerkin - In: Quantitative finance 18 (2018) 11, pp. 1865-1876
Persistent link: https://www.econbiz.de/10012262857
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A term structure model of interest rates with quadratic volatility
Takamizawa, Hideyuki - In: Quantitative finance 18 (2018) 7, pp. 1173-1198
Persistent link: https://www.econbiz.de/10011911531
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volatility index
Asensio, Ivan Oscar - In: Quantitative finance 20 (2020) 4, pp. 619-638
Persistent link: https://www.econbiz.de/10012194910
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Implied roughness in the term structure of oil market volatility
Alfeus, Mesias; Nikitopoulos, Christina Sklibosios; … - In: Quantitative finance 24 (2024) 3/4, pp. 347-363
Persistent link: https://www.econbiz.de/10014552013