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The size effect and default risk : evidence from the Vietnamese stock market
Le Quy Duong; Bertrand, Philippe - In: Review of financial economics : RFE 40 (2022) 4, pp. 377-388
Persistent link: https://www.econbiz.de/10013461475
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Comparison and robustification of Bayes and Black-Litterman models
Schöttle, Katrin; Werner, Ralf; Zagst, Rudi - In: Mathematical methods of operations research 71 (2010) 3, pp. 453-475
Persistent link: https://www.econbiz.de/10003990389
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A general structural approach for credit modeling under stochastic volatility
Escobar, Marcos; Friedrich, Tim; Seco, Luis; Zagst, Rudi - In: Journal / The Capco Institute : journal of financial … 32 (2011), pp. 123-132
Persistent link: https://www.econbiz.de/10009629244
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Stochastic correlation and volatility mean-reversion : empirical motivation and derivatives pricing via perturbation theory
Escobar, Marcos; Götz, Barbara; Neykova, Daniela; … - In: Applied mathematical finance 21 (2014) 5/6, pp. 555-594
Persistent link: https://www.econbiz.de/10010500871
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Pricing two-asset barrier options under stochastic correlation via perturbation
Escobar, Marcos; Götz, Barbara; Neykova, Daniela; … - In: International journal of theoretical and applied finance 18 (2015) 3, pp. 1-44
Persistent link: https://www.econbiz.de/10011403748
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Empirical evaluation of hybrid defaultable bond pricing models
Antes, S.; Ilg, M.; Schmid, Beat; Zagst, Rudi - In: Applied mathematical finance 15 (2008) 3/4, pp. 219-249
Persistent link: https://www.econbiz.de/10003751234
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Mind the cap!-constrained portfolio optimisation in Heston's stochastic volatility model
Escobar, Marcos; Kschonnek, M.; Zagst, Rudi - In: Quantitative finance 23 (2023) 12, pp. 1793-1813
Persistent link: https://www.econbiz.de/10014452471