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CREDIT DERIVATIVES Squaring factor copula models - The authors discuss synthetic CDO of CDO tranches and present a quasi-analytical framework for the valuation and hedging of this...
Baheti, Prasun; Mashal, Roy; Naldi, Marco; Schloegl, Lutz - In: Risk : managing risk in the world's financial markets 18 (2005) 6, pp. 73-76
Persistent link: https://www.econbiz.de/10007022577
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CREDIT DERIVATIVES - Squaring factor copula models - The authors discuss synthetic CDO of CDO tranches and present a quasi analytical framework for the valuation and hedging of thi...
Baheti, Prasun; Mashal, Roy; Naldi, Marco; Schloegl, Lutz - In: Risk : managing risk in the world's financial markets 18 (2005) 6, pp. 73-76
Persistent link: https://www.econbiz.de/10007022883
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A note on the large homogeneous portfolio approximation with the Student-t copula
Schloegl, Lutz; O#8217kane, Dominic - In: Finance and stochastics 9 (2005) 4, pp. 577-584
Persistent link: https://www.econbiz.de/10008214148
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CREDIT MODELING UNDER JUMP DIFFUSIONS WITH EXPONENTIALLY DISTRIBUTED JUMPS — STABLE CALIBRATION, DYNAMICS AND GAP RISK
HELLMICH, MARTIN; KASSBERGER, STEFAN; SCHMIDT, WOLFGANG M. - In: International journal of theoretical and applied finance 16 (2013) 4
Persistent link: https://www.econbiz.de/10010151930
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Stressing correlations and volatilities — A consistent modeling approach
Becker, Christoph; Schmidt, Wolfgang M. - In: Journal of empirical finance 21 (2013), pp. 174-194
Persistent link: https://www.econbiz.de/10010092087
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Interest rate term structure modelling
Schmidt, Wolfgang M. - In: European journal of operational research : EJOR 214 (2011) 1, pp. 1-15
Persistent link: https://www.econbiz.de/10009133511
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Latin hypercube sampling with dependence and applications in finance
Packham, Natalie; Schmidt, Wolfgang M - In: The journal of computational finance 13 (2010) 3, pp. 81-81
Persistent link: https://www.econbiz.de/10008403082