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Carmona, René
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Interest rate risk - Lois: Credit and liquidity - The spread between Libor and overnight index swap rates used to be negligible — Until the crisis. Its behaviour since can be expla...
Crépey, Stéphane
;
Douady, Raphaël
- In:
Risk : managing risk in the world's financial markets
26
(
2013
)
6
,
pp. 78-83
Persistent link: https://www.econbiz.de/10010138260
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2
Delta-hedging correlation risk?
Cousin, Areski
;
Crépey, Stéphane
;
Kan, Yu Hang
- In:
Review of derivatives research
15
(
2012
)
1
,
pp. 25-57
Persistent link: https://www.econbiz.de/10009843785
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3
Pricing convertible bonds with call protection
Crépey, Stéphane
;
Rahal, Abdallah
- In:
The journal of computational finance
15
(
2011
)
2
,
pp. 37-77
Persistent link: https://www.econbiz.de/10009816296
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4
DEFAULTABLE OPTIONS IN A MARKOVIAN INTENSITY MODEL OF CREDIT RISK
Bielecki, Tomasz R.
;
Crépey, Stéphane
;
Jeanblanc, Monique
- In:
Mathematical finance : an international journal of …
18
(
2008
)
4
,
pp. 493-518
Persistent link: https://www.econbiz.de/10008103933
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5
Interacting particle systems for the computation of rare credit portfolio losses
Carmona, René
;
Fouque, Jean-Pierre
;
Vestal, Douglas
- In:
Finance and stochastics
13
(
2009
)
4
,
pp. 613
Persistent link: https://www.econbiz.de/10008274828
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6
Transatlantische Bankenkrise: Dynamik und neue Reformoptionen
Carmona, René
;
Wang, Lixin
- In:
Wirtschaftsdienst : Zeitschrift für Wirtschaftspolitik
89
(
2009
)
10
,
pp. 684-691
Persistent link: https://www.econbiz.de/10008340328
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7
OPTIMAL MULTIPLE STOPPING AND VALUATION OF SWING OPTIONS
Carmona, René
;
Touzi, Nizar
- In:
Mathematical finance : an international journal of …
18
(
2008
)
2
,
pp. 239-268
Persistent link: https://www.econbiz.de/10008221222
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8
Optimal Multiple Stopping of Linear Diffusions
Carmona, René
;
Dayanik, Savas
- In:
Mathematics of operations research
33
(
2008
)
2
,
pp. 446-460
Persistent link: https://www.econbiz.de/10008055488
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9
Risk-Neutral Models for Emission Allowance Prices and Option Valuation
Carmona, René
;
Hinz, Juri
- In:
Management science : journal of the Institute for …
57
(
2011
)
8
,
pp. 1453-1469
Persistent link: https://www.econbiz.de/10009252591
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10
Tangent Lévy market models
Carmona, René
;
Nadtochiy, Sergey
- In:
Finance and stochastics
16
(
2011
)
1
,
pp. 63-105
Persistent link: https://www.econbiz.de/10009810440
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