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Numerically stable computation of CreditRisk+
Haaf, Hermann; Reiß, Oliver; Schoenmakers, John - In: CreditRisk+ in the banking industry, (pp. 69-77). 2004
Persistent link: https://www.econbiz.de/10002108694
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Numerical methods in finance and economics : a MATLAB-based introduction
Brandimarte, Paolo - 2006 - 2. ed.
Persistent link: https://www.econbiz.de/10003333083
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In which financial markets do mutual fund theorems hold true?
Schachermayer, Walter; Sîrbu, Mihai; Taflin, Erik - In: Finance and stochastics 13 (2009) 1, pp. 49-77
Persistent link: https://www.econbiz.de/10003939474
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Pricing k-th-to-default swaps ander default contagion : the matrix-analytic approach
Herbertsson, Alexander (contributor);  … - 2007
Persistent link: https://www.econbiz.de/10003571927
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Pricing synthetic CDO tranches in a model with default contagion using the matrix-analytic approach
Herbertsson, Alexander (contributor) - 2007
Persistent link: https://www.econbiz.de/10003571937
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Modelling default contagion using multivariate phase-type distributions
Herbertsson, Alexander (contributor) - 2007
Persistent link: https://www.econbiz.de/10003571939
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Alternative numerical approaches to portfolio construction and complex option pricing
Roko, Ilir - 2006
Persistent link: https://www.econbiz.de/10008653032
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Equations of Hamilton-Jacobi type and their applications in finance
Nayak, Suhas R. - 2006
Persistent link: https://www.econbiz.de/10003965678
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Numerical solution of dynamic portfolio optimization with transaction costs
Cai, Yongyang; Judd, Kenneth L.; Xu, Rong - 2013
Persistent link: https://www.econbiz.de/10009711772