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Pricing and hedging of CDO-squared tranches by using a one factor Lévy model
Guillaume, Florence; Jacobs, Philippe; Schoutens, Wim - In: International journal of theoretical and applied finance 12 (2009) 5, pp. 663-685
Persistent link: https://www.econbiz.de/10003899503
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Fast valuation and calibration of credit default swaps under Lévy dynamics
Fang, Fang; Jönsson, Henrik; Oosterlee, Cornelis W.; … - In: The journal of computational finance 14 (2010/11) 2, pp. 57-86
Persistent link: https://www.econbiz.de/10008810136
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Comparing some alternative Lévy base correlation models for pricing and hedging CDO tranches
Masol, Viktoriya; Schoutens, Wim - 2008
Persistent link: https://www.econbiz.de/10003709746
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Option prices and model-free measurement of implied herd behavior in stock markets
Linders, Daniël; Dhaene, Jan; Schoutens, Wim - 2015 - Version: December 19, 2014
Persistent link: https://www.econbiz.de/10011418887
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Option prices and model-free measurement of implied herd behavior in stock markets
Linders, Daniël; Dhaene, Jan; Schoutens, Wim - In: International journal of financial engineering 2 (2015) 2, pp. 1-35
Persistent link: https://www.econbiz.de/10011333475
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Calibration risk : illustrating the impact of calibration risk under the Heston model
Guillaume, Florence; Schoutens, Wim - In: Review of derivatives research 15 (2012) 1, pp. 57-79
Persistent link: https://www.econbiz.de/10009627433
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Implied liquidity: towards stochastic liquidity modelling and liquidity trading
Corcuera, José Manuel; Guillaume, Florence; Madan, Dilip B. - In: International Journal of Portfolio Analysis and Management 1 (2012) 1, pp. 80-91
Persistent link: https://www.econbiz.de/10009706521
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Simple processes and the pricing and hedging of Cliquets
Madan, Dilip B.; Schoutens, Wim - In: Mathematical finance : an international journal of … 23 (2013) 1, pp. 198-216
Persistent link: https://www.econbiz.de/10009712550
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Pricing contingent convertibles : a derivatives approach
De Spiegeleer, Jan; Schoutens, Wim - In: The journal of derivatives : the official publication … 20 (2012) 2, pp. 27-36
Persistent link: https://www.econbiz.de/10009718109
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Modeling risk-weighted assets and the risk sensitivity of related capital requirements
Eberlein, Ernst; Madan, Dilip B.; Schoutens, Wim - In: Journal of risk 16 (2013) 2, pp. 3-23
Persistent link: https://www.econbiz.de/10010237932