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Applications to weather derivatives and energy contracts

Carmona, René - In: Indifference pricing : theory and applications, (pp. 241-264). 2009

Persistent link: https://www.econbiz.de/10003807590

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. 613-633

Persistent link: https://www.econbiz.de/10003899538

Pricing precipitation based derivatives

Carmona, René; Diko, Pavel - In: International journal of theoretical and applied finance 8 (2005) 7, pp. 959-988

Persistent link: https://www.econbiz.de/10003206788

Indifference Pricing : Theory and Applications

Carmona, René (contributor) - 2009

Main description: This is the first book about the emerging field of utility indifference pricing for valuing derivatives in incomplete markets. René Carmona brings together a who's who of leading experts in the field to provide the definitive introduction for students, scholars, and...

Persistent link: https://www.econbiz.de/10014488322

Indifference pricing : theory and applications

Carmona, René (contributor) - 2009

Persistent link: https://www.econbiz.de/10003743756

Valuation of basket credit derivatives in the credit migrations environment

Bielecki, Tomasz R.; Crépey, Stéphane; Jeanblanc, Monique - In: Financial engineering, (pp. 471-507). 2008

Persistent link: https://www.econbiz.de/10003567710

Bilateral counterparty risk under funding constraints - part II : CVA

Crépey, Stéphane - In: Mathematical finance : an international journal of … 25 (2015) 1, pp. 23-50

Persistent link: https://www.econbiz.de/10011347256

Bilateral counterparty risk under funding constraints - part I : pricing

Crépey, Stéphane - In: Mathematical finance : an international journal of … 25 (2015) 1, pp. 1-22

Persistent link: https://www.econbiz.de/10011347260

Counterparty risk and funding : the four wings of the TVA

Crépey, Stéphane; Gerboud, Rémi; Grbac, Zorana; … - In: International journal of theoretical and applied finance 16 (2013) 2, pp. 1-31

Persistent link: https://www.econbiz.de/10009748728

Delta-hedging correlation risk?

Cousin, Areski; Crépey, Stéphane; Kan, Yu Hang - In: Review of derivatives research 15 (2012) 1, pp. 25-56

Persistent link: https://www.econbiz.de/10009627434