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The pricing of exotic options by Monte-Carlo simulations in a Lèvy market with stochastic volatility

Schoutens, Wim; Symens, Stijn - In: International journal of theoretical and applied finance 6 (2003) 8, pp. 839-864

Persistent link: https://www.econbiz.de/10001862172

Contingent conversion convertible bond : new avenue to raise bank capital

Di Girolamo, Francesca Erica; Campolongo, Francesca; De … - In: International journal of financial engineering 4 (2017) 1, pp. 1-31

Persistent link: https://www.econbiz.de/10011673102

Modeling Risk Weighted Assets and the Risk Sensitivity of Related Capital Requirements

Eberlein, Ernst - 2013

to risk model evaluation using forward looking risk neutral probabilities. In addition to VaR and CVaR we analyse a new … the popular concept of risk weighted assets used in the Basel approach to capital requirements. The formalization allows …

Persistent link: https://www.econbiz.de/10013085017

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

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

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

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

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

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

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