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On the modelling of nested risk-neutral stochastic processes with applications in insurance
Singor, S. N.
;
Boer, A.
;
Alberts, J. S. C.
;
Oosterlee, …
- In:
Applied mathematical finance
24
(
2017
)
3/4
,
pp. 302-336
Persistent link: https://www.econbiz.de/10011815235
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2
Portfolio risk and the quantum majorization of correlation matrices
Fontanari, Andrea
;
Eliazar, Iddo
;
Cirillo, Pasquale
; …
- In:
IMA journal of management mathematics
32
(
2021
)
3
,
pp. 257-282
Persistent link: https://www.econbiz.de/10012503883
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3
Pricing and hedging prepayment risk in a mortgage portfolio
Casamassima, Emanuele
;
Grzelak, Lech A.
;
Mulder, Frank A.
; …
- In:
International journal of theoretical and applied …
25
(
2022
)
4/5
,
pp. 1-37
Persistent link: https://www.econbiz.de/10013371214
Saved in:
4
Relevance of wrong-way risk in funding valuation adjustments
Zwaard, Thomas van der
;
Grzelak, Lech A.
;
Oosterlee, …
- In:
Finance research letters
49
(
2022
),
pp. 1-8
Persistent link: https://www.econbiz.de/10013478834
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