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Analytical valuation of autocallable notes
Guillaume, Tristan - In: International journal of financial engineering 2 (2015) 2, pp. 1-23
Persistent link: https://www.econbiz.de/10011333447
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Capturing implied correlation skew from options prices via multiscale stochastic volatility models
Pellegrino, T. - In: International journal of financial engineering 7 (2020) 4, pp. 1-42
Persistent link: https://www.econbiz.de/10012603755
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Modelling stochastic skew of FX options using SLV models with stochastic spot/vol correlation and correlated jumps
Itkin, Andrey - In: Applied mathematical finance 24 (2017) 5/6, pp. 485-519
Persistent link: https://www.econbiz.de/10011815291
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Random matrix models for datasets with fixed time horizons
Zitelli, G. L. - In: Quantitative finance 20 (2020) 5, pp. 769-781
Persistent link: https://www.econbiz.de/10012262618
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Extreme Portfolio Loss Correlations in Credit Risk
Mühlbacher, Andreas - 2017
the case of large, overlapping credit portfolios. We analytically calculate the multivariate joint loss distribution of … to protect the more senior tranches from high losses. We analytically corroborate the observation that an extreme loss of … the subordinated creditor is likely to also yield a large loss of the senior creditor …
Persistent link: https://www.econbiz.de/10012953187
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Commodity spread option pricing and the economic fundamentals of crack spreads
Kolpakov, Ilya - 2014
Persistent link: https://www.econbiz.de/10010516044
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Monotonicity of prices in Heston model
Aly, Sidi Mohamed Ould - In: International journal of theoretical and applied finance 16 (2013) 3, pp. 1-23
Persistent link: https://www.econbiz.de/10009756039
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A multivariate pure-jump model with multi-factorial dependence structure
Marfè, Roberto - In: International journal of theoretical and applied finance 15 (2012) 4, pp. 1-30
Persistent link: https://www.econbiz.de/10009624464
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A parsimonious multi-asset Heston model : calibration and derivative pricing
Dimitroff, Georgi; Lorenz, Stefan; Szimayer, Alexander - In: International journal of theoretical and applied finance 14 (2011) 8, pp. 1299-1333
Persistent link: https://www.econbiz.de/10009541994
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Analytically pricing European options under a hybrid stochastic volatility and interest rate model with a general correlation structure
He, Xin-Jiang; Lin, Sha - In: The journal of futures markets 43 (2023) 7, pp. 951-967
Persistent link: https://www.econbiz.de/10014293271