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Schoenmakers, John
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Dynamic semiparametric factor models in risk neutral density estimation
Giacomini, Enzo
;
Härdle, Wolfgang
;
Krätschmer, Volker
- In:
Wirtschafts- und sozialstatistisches Archiv : ASTA ; …
93
(
2009
)
4
,
pp. 387-402
Persistent link: https://www.econbiz.de/10008352240
Saved in:
2
Robust representation of convex risk measures by probability measures
Krätschmer, Volker
- In:
Finance and stochastics
9
(
2005
)
4
,
pp. 597
Persistent link: https://www.econbiz.de/10008214146
Saved in:
3
Sensitivity of risk measures with respect to the normal approximation of total claim distributions
Krätschmer, Volker
;
Zähle, Henryk
- In:
Insurance / Mathematics & economics
49
(
2011
)
3
,
pp. 335-345
Persistent link: https://www.econbiz.de/10009807360
Saved in:
4
EXOTIC OPTIONS: Iterating cancellable snowballs and related exotics - Effective valuation procedures for callable exotics are a thorny problem. In particular, standard methods reve...
Sender, Christian
;
Kolodo, Anastasia
;
Schoenmakers, John
- In:
Risk : managing risk in the world's financial markets
19
(
2006
)
9
,
pp. 126
Persistent link: https://www.econbiz.de/10007383513
Saved in:
5
TRUE UPPER BOUNDS FOR BERMUDAN PRODUCTS VIA NON-NESTED MONTE CARLO
Belomestny, Denis
;
Bender, Christian
;
Schoenmakers, John
- In:
Mathematical finance : an international journal of …
19
(
2009
)
1
,
pp. 53-72
Persistent link: https://www.econbiz.de/10008160564
Saved in:
6
Iterative construction of the optimal Bermudan stopping time
Kolodko, Anastasia
;
Schoenmakers, John
- In:
Finance and stochastics
10
(
2006
)
1
,
pp. 27-50
Persistent link: https://www.econbiz.de/10008222878
Saved in:
7
From structural assumptions to a link between assets and interest rates
Reiß, Oliver
;
Schoenmakers, John
;
Schweizer, Martin
- In:
Journal of economic dynamics & control
31
(
2007
)
2
,
pp. 593-612
Persistent link: https://www.econbiz.de/10007590420
Saved in:
8
RESEARCH PAPERS - Efficient and accurate log-Lévy approximations of Lévy-driven LIBOR models
Papapantoleon, Antonis
;
Schoenmakers, John
;
Skovmand, David
- In:
The journal of computational finance
15
(
2012
)
4
,
pp. 3-45
Persistent link: https://www.econbiz.de/10009993874
Saved in:
9
Primaldual linear Monte Carlo algorithm for multiple stoppingan application to flexible caps
BALDER, SVEN
;
MAHAYNI, ANTJE
;
SCHOENMAKERS, JOHN
- In:
Quantitative finance
13
(
2013
)
7
,
pp. 1003-1013
Persistent link: https://www.econbiz.de/10010141819
Saved in:
10
Multilevel dual approach for pricing American style derivatives
Belomestny, Denis
;
Schoenmakers, John
;
Dickmann, Fabian
- In:
Finance and stochastics
17
(
2013
)
4
,
pp. 717-742
Persistent link: https://www.econbiz.de/10010183828
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