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Option pricing theory
Theorie
67
Theory
66
Credit risk
41
Kreditrisiko
41
Optionspreistheorie
34
Derivat
27
Derivative
27
Volatilität
24
Volatility
23
Kreditderivat
19
Stochastic process
19
Stochastischer Prozess
19
Collateral
17
Credit derivative
17
Kreditsicherung
17
Risikomanagement
17
Risk management
16
Yield curve
16
Zinsstruktur
16
Zinsderivat
14
Interest rate derivative
13
Portfolio selection
12
Portfolio-Management
12
Counterparty risk
9
Hedging
9
Swap
9
Insolvency
8
Insolvenz
8
Multivariate Verteilung
8
Multivariate distribution
8
credit valuation adjustment
8
Finanzkrise
7
Risiko
7
Risk
7
Asset-Backed Securities
6
Asset-backed securities
6
Basel Accord
6
Basler Akkord
6
Financial services
6
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21
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2
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2
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1
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1
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English
34
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Brigo, Damiano
20
Mercurio, Fabio
18
Li, Minqiang
6
Pallavicini, Andrea
3
Graceffa, Federico
2
Rutkowski, Marek
2
Vorst, Ton
2
Bellani, Claudio
1
Bisesti, Lorenzo
1
Buescu, C.
1
Buescu, Cristin
1
Castagna, Antonio
1
Cousot, Laurent
1
Dalessandro, Antonio
1
El-Bachir, Naoufel
1
Francischello, Marco
1
Garcia, João
1
Kalinin, Alexander
1
Morini, Massimo
1
Neugebauer, Matthias
1
Papatheodorou, Vasileios
1
Pede, Nicola
1
Rapisarda, Francesco
1
Resnick, Serge
1
Runggaldier, Wolfgang J.
1
Sarais, Gabriele
1
Sridi, Abir
1
Triki, Fares
1
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International journal of theoretical and applied finance
5
Mathematical finance : an international journal of mathematics, statistics and financial theory
3
Finance and stochastics
2
Applied mathematical finance
1
Credit risk : models, derivatives, and management
1
European journal of operational research : EJOR
1
International journal of financial engineering
1
Journal of risk management in financial institutions
1
Oberwolfach
1
Operations research letters
1
Options - 45 years since the publication of the Black-Scholes-Merton model : the Gershon Fintech Center Conference
1
PhD research bulletin / Tinbergen Institute
1
Quantitative finance
1
Report / Erasmus Center for Financial Research, Erasmus University
1
Springer Finance
1
The Kyoto economic review
1
The journal of futures markets
1
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ECONIS (ZBW)
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Interest rate models - theory and practice : with smile, inflation and credit ; with 131 tables
Brigo, Damiano
;
Mercurio, Fabio
-
2006
-
2. ed.
Persistent link: https://www.econbiz.de/10002116360
Saved in:
2
A deterministic-shift extension of analytically-tractable and time-homogeneous short-rate models
Brigo, Damiano
;
Mercurio, Fabio
- In:
Finance and stochastics
5
(
2001
)
3
,
pp. 369-387
Persistent link: https://www.econbiz.de/10001599290
Saved in:
3
Option pricing impact of alternative continuous-time dynamics for discretely-observed stock prices
Brigo, Damiano
;
Mercurio, Fabio
- In:
Finance and stochastics
4
(
2000
)
2
,
pp. 147-159
Persistent link: https://www.econbiz.de/10001486694
Saved in:
4
Lognormal-mixture dynamics and calibration to market volatility smiles
Brigo, Damiano
;
Mercurio, Fabio
- In:
International journal of theoretical and applied finance
5
(
2002
)
4
,
pp. 427-446
Persistent link: https://www.econbiz.de/10001682228
Saved in:
5
A simple two-period model for option pricing with market imperfections
Mercurio, Fabio
- In:
PhD research bulletin / Tinbergen Institute
9
(
1997
)
1
,
pp. 39-48
Persistent link: https://www.econbiz.de/10001220781
Saved in:
6
CDS options through candidate market models and the CDS-calibrated CIR++ stochastic intensity model
Brigo, Damiano
- In:
Credit risk : models, derivatives, and management
,
(pp. 393-425)
.
2008
Persistent link: https://www.econbiz.de/10003718585
Saved in:
7
Consistent pricing and hedging of an FX options book
Bisesti, Lorenzo
;
Castagna, Antonio
;
Mercurio, Fabio
- In:
The Kyoto economic review
74
(
2005
)
1
,
pp. 65-83
Persistent link: https://www.econbiz.de/10003379596
Saved in:
8
Analytic approximation of finite-maturity timer option prices
Li, Minqiang
;
Mercurio, Fabio
- In:
The journal of futures markets
35
(
2015
)
3
,
pp. 245-273
Persistent link: https://www.econbiz.de/10011348432
Saved in:
9
Closed-form approximation of perpetual timer option prices
Li, Minqiang
;
Mercurio, Fabio
- In:
International journal of theoretical and applied finance
17
(
2014
)
4
,
pp. 1-34
Persistent link: https://www.econbiz.de/10010391503
Saved in:
10
Option pricing with hedging at fixed trading dates
Mercurio, Fabio
- In:
Applied mathematical finance
3
(
1996
)
2
,
pp. 135-158
Persistent link: https://www.econbiz.de/10001219285
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