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Closed-form pricing of two-asset barrier options with stochastic covariance

Götz, Barbara; Escobar, Marcos; Zagst, Rudi - In: Applied mathematical finance 21 (2014) 3/4, pp. 363-397

Persistent link: https://www.econbiz.de/10010499671

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

Robust multivariate portfolio choice with stochastic covariance in the presence of ambiguity

Bergen, V.; Escobar, Marcos; Rubtsov, A.; Zagst, Rudi - In: Quantitative finance 18 (2018) 8, pp. 1265-1294

Persistent link: https://www.econbiz.de/10011911537

Stochastic covariance and dimension reduction in the pricing of basket options

Escobar, Marcos; Krause, Daniel; Zagst, Rudi - In: Review of derivatives research 19 (2016) 3, pp. 165-200

Persistent link: https://www.econbiz.de/10011927967

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

Modeling the evolution of implied CDO correlations

Hofert, Marius; Scherer, Matthias; Zagst, Rudi - In: Financial markets and portfolio management 24 (2010) 3, pp. 289-308

Persistent link: https://www.econbiz.de/10008668595

Pricing of spread options on stochastically correlated underlyings

Escobar, Marcos; Götz, Barbara; Seco, Luis; Zagst, Rudi - In: The journal of computational finance 12 (2009) 3, pp. 31-61

Persistent link: https://www.econbiz.de/10009534616

Modeling the Evolution of Implied CDO Correlations

Hofert, Marius - 2010

CDO tranche spreads (and prices of related portfolio-credit derivatives) depend on the market's perception of the future loss distribution of the underlying credit portfolio. Applying Sklar's seminal decomposition to the distribution of the vector of default times, the portfolio-loss...

Persistent link: https://www.econbiz.de/10013138603