Similar Search Results

Efficiently pricing double barrier derivatives in stochastic volatility models

Escobar, Marcos; Hieber, Peter; Scherer, Matthias - In: Review of derivatives research 17 (2014) 2, pp. 191-216

Persistent link: https://www.econbiz.de/10010529630

Valuation of hybrid financial and actuarial products in life insurance by a novel three-step method

Deelstra, Griselda; Devolder, Pierre; Gnameho, Kossi; … - In: ASTIN bulletin : the journal of the International … 50 (2020) 3, pp. 709-742

Persistent link: https://www.econbiz.de/10012307394

Cross asset portfolio derivatives

Höcht, Stephan; Scherer, Matthias; Seegerer, Philip - In: Alternative investments and strategies : credit, …, (pp. 175-197). 2010

Persistent link: https://www.econbiz.de/10008655203

A tractable multivariate default model based on a stochastic time-change

Mai, Jan-Frederik; Scherer, Matthias - In: International journal of theoretical and applied finance 12 (2009) 2, pp. 227-249

Persistent link: https://www.econbiz.de/10003855783

Pricing and hedging CDO tranches using latent one-factor models : an empirical study

Höcht, Stephan; Scherer, Matthias; Spitaler, Patrick - In: Journal / The Capco Institute : journal of financial … 40 (2014), pp. 49-64

Persistent link: https://www.econbiz.de/10011308123

A multivariate default model with spread and event risk

Mai, Jan-Frederik; Olivares, Pablo; Schenk, Steffen; … - In: Applied mathematical finance 21 (2014) 1/2, pp. 51-83

Persistent link: https://www.econbiz.de/10010351857

Innovations in Derivatives Markets : Fixed Income Modeling, Valuation Adjustments, Risk Management, and Regulation

Glau, Kathrin (ed.); Grbac, Zorana (ed.); … - Conference Innovations in Derivatives Markets - Fixed … - 2016

This book presents 20 peer-reviewed chapters on current aspects of derivatives markets and derivative pricing. The contributions, written by leading researchers in the field as well as experienced authors from the financial industry, present the state of the art in: "Modeling counterparty credit...

Persistent link: https://www.econbiz.de/10011588323

Parametric model risk and power plant valuation

Bannör, Karl; Kiesel, Rüdiger; Nazarova, Anna; … - In: Energy economics 59 (2016), pp. 423-434

Persistent link: https://www.econbiz.de/10011699734

Innovations in derivatives markets : fixed income modeling, valuation adjustments, risk management, and regulation

Glau, Kathrin (contributor); Grbac, Zorana (contributor); … - Conference Innovations in Derivatives Markets - Fixed … - 2016

Persistent link: https://www.econbiz.de/10014013649