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Pricing tenure payment reverse mortgages with optimal exercised prepayment options by accounting for house prices, interest rates, and mortality risk
Dai, Tian-Shyr; Liu, Liang-Chih; Yang, Sharon S. - In: Quantitative finance 23 (2023) 9, pp. 1325-1339
Persistent link: https://www.econbiz.de/10014339929
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Valuation of non-negative equity guarantees, considering contagion risk for house prices under the HJM interest rate model
Chen, Fen-Ying; Yang, Sharon S.; Huang, Hong Chih - In: Quantitative finance 21 (2021) 9, pp. 1551-1565
Persistent link: https://www.econbiz.de/10012624157
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Extracting implied volatilities from bank bonds
Bianchi, Michele Leonardo; Tassinari, Gian Luca - In: Quantitative finance 23 (2023) 7/8, pp. 1177-1197
Persistent link: https://www.econbiz.de/10014321670
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A default contagion model for pricing defaultable bonds from an information based perspective
Nakagawa, Hidetoshi; Takada, Hideyuki - In: Quantitative finance 23 (2023) 1, pp. 169-185
Persistent link: https://www.econbiz.de/10013490963
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Speed-up credit exposure calculations for pricing and risk management
Glau, Kathrin; Pachón, Ricardo; Pötz, Christian - In: Quantitative finance 21 (2021) 3, pp. 481-499
Persistent link: https://www.econbiz.de/10012483835
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Liquidity risk in derivatives valuation : an improved credit proxy method
Sourabh, Sumit; Hofer, Markus; Kandhai, Drona - In: Quantitative finance 18 (2018) 3, pp. 467-481
Persistent link: https://www.econbiz.de/10011906396
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Bayesian regularized artificial neural networks for the estimation of the probability of default
Sariev, Eduard; Germano, Guido - In: Quantitative finance 20 (2020) 2, pp. 311-328
Persistent link: https://www.econbiz.de/10012194868
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Design of adaptive Elman networks for credit risk assessment
Corazza, Marco; De March, Davide; Tollo, Giacomo di - In: Quantitative finance 21 (2021) 2, pp. 323-340
Persistent link: https://www.econbiz.de/10012424593
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A financially justifiable and practically implementable approach to coherent stress testing
Rebonato, Riccardo - In: Quantitative finance 19 (2019) 5, pp. 827-842
Persistent link: https://www.econbiz.de/10012194718
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An agent-based model for the assessment of LTV caps
Laliotis, Dimitrios; Buesa, Alejandro; Leber, Miha; … - In: Quantitative finance 20 (2020) 10, pp. 1721-1748
Persistent link: https://www.econbiz.de/10012295633