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~subject:"Kreditrisiko"
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Kreditrisiko
Option pricing theory
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Optionspreistheorie
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Theorie
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Theory
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Counterparty credit risk
2
Credit risk
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bundling method
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credit value adjustment
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integrated variance
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least squares regression approximation
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multi-asset options
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small noise expansion
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square Bessel process
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Weide, Hans van der
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Anderluh, J. H. M.
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Huang, Xinzheng
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Oosterlee, Cornelis W.
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Shen, Yanbin
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International journal of theoretical and applied finance
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The journal of computational finance
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ECONIS (ZBW)
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Algorithmic counterparty credit exposure for multi-asset Bermudan options
Shen, Yanbin
;
Anderluh, J. H. M.
;
Weide, Hans van der
- In:
International journal of theoretical and applied finance
18
(
2015
)
1
,
pp. 1-35
Persistent link: https://www.econbiz.de/10011403163
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2
Higher-order saddlepoint approximations in the Vasicek portfolio credit loss model
Huang, Xinzheng
;
Oosterlee, Cornelis W.
;
Weide, Hans van der
- In:
The journal of computational finance
11
(
2007/08
)
1
,
pp. 93-113
Persistent link: https://www.econbiz.de/10003643434
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