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Modeling simultaneous defaults : a top-down approach
Kunisch, Michael; Uhrig-Homburg, Marliese - In: The journal of fixed income 18 (2008/09) 1, pp. 25-36
Persistent link: https://www.econbiz.de/10003757569
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Model-based estimation of high frequency jump diffusions with microstructure noise and stochastic volatility
Bos, Charles S. - 2008
Persistent link: https://www.econbiz.de/10003645209
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Robust stochastic discount factors
Boyle, Phelim P.; Feng, Shui; Tian, Weidong; Wang, Tan - In: The review of financial studies 21 (2008) 3, pp. 1077-1122
Persistent link: https://www.econbiz.de/10003742222
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Pricing temperature derivatives using a partial differential equation approach in incomplete markets
Ehlers, Manuel - 2008
Persistent link: https://www.econbiz.de/10003781004
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Efficient pricing algorithms for exotic derivatives
Lord, Roger - 2008
Persistent link: https://www.econbiz.de/10003775897
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Essays on risk measures and stochastic dependence : with applications to insurance and finance
Laeven, Roger Jean Auguste - 2005
Persistent link: https://www.econbiz.de/10003158080
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Fixed income securities : valuation, risk, and risk management
Veronesi, Pietro - 2010
Persistent link: https://www.econbiz.de/10003885625
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Interacting particle systems for the computation of rare credit portfolio losses
Carmona, René; Fouque, Jean-Pierre; Vestal, Douglas - In: Finance and stochastics 13 (2009) 4, pp. 613-633
Persistent link: https://www.econbiz.de/10003899538
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Credit dynamics in a first passage time model with jumps
Packham, Natalie; Schlögl, Lutz; Schmidt, Wolfgang M. - 2009
Persistent link: https://www.econbiz.de/10003905500
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Credit gap risk in a first passage time model with jumps
Packham, Natalie; Schlögl, Lutz; Schmidt, Wolfgang M. - 2009
Persistent link: https://www.econbiz.de/10003906967