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A note on the correlation smile
Hager, Svenja (contributor); Schöbel, Rainer (contributor) - 2005
The correct modeling of default dependence is essential for the valuation of multiname credit derivatives. However for the pricing of synthetic CDOs a one-factor Gaussian copula model with constant and equal pairwise correlations, default intensities and recovery rates for all assets in the...
Persistent link: https://www.econbiz.de/10003371000
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The handbook of derivative instruments : investment research, analysis, and portfolio applications
Konishi, Atsuo (ed.) - 1996 - 2. ed.
Persistent link: https://www.econbiz.de/10000546212
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Derivative Finanzinstrumente : vom Europäischen zum Exotischen
Willnow, Joachim - 1996
Persistent link: https://www.econbiz.de/10000561165
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Off-balance-sheet-Finanzierungsrisiken unter besonderer Berücksichtigung von Finanzderivaten
Makowski, Andreas Markus - 1997
Persistent link: https://www.econbiz.de/10000625960
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Mathematical models of financial derivatives : with 2 tables
Kwok, Yue-Kuen - 1998
Persistent link: https://www.econbiz.de/10000628948
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Risiko-Controlling des Einsatzes derivativer Finanzinstrumente in der Kapitalanlage von Versicherungsunternehmen
Bährle, Hermann F. W. - 1997
Persistent link: https://www.econbiz.de/10000630496
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Futures, options, and swaps
Kolb, Robert W. - 1997 - 2. ed.
Persistent link: https://www.econbiz.de/10000594804
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Financial derivatives : an introduction to futures, forwards, options and swaps
Redhead, Keith - 1997 - 1. publ.
Persistent link: https://www.econbiz.de/10000597543
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Derivatives and monetary policy
Hausler, Gerd - 1996
Persistent link: https://www.econbiz.de/10000603855