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Kleijnen, Jack P. C.
106
Phillips, Peter C. B.
71
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60
McAleer, Michael
49
Chiarella, Carl
45
Härdle, Wolfgang
43
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43
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40
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37
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Hafner, Christian M.
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Heckman, James J.
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23
Kohlmann, Michael
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Korn, Ralf
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Nelson, Barry L.
23
Renault, Eric
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Zhang, Qing
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Carr, Peter
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Frank J. Fabozzi Associates <New Hope, Pa.>
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Institut für Weltwirtschaft
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Judge Institute of Management Studies
3
Shaker Verlag
3
Social Systems Research Institute
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European journal of operational research : EJOR
584
International journal of production research
282
Mathematical finance : an international journal of mathematics, statistics and financial theory
240
Finance and stochastics
207
International journal of theoretical and applied finance
202
Computers & operations research : and their applications to problems of world concern ; an international journal
188
Journal of econometrics
186
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INFORMS journal on computing : JOC
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The review of financial studies
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ECONIS (ZBW)
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1
Pricing CDOs with a smile : the local
correlation
model
Turc, Julien
;
Very, Philippe
- In:
Frontiers in quantitative finance : volatility and …
,
(pp. 235-250)
.
2009
Persistent link: https://www.econbiz.de/10003787606
Saved in:
2
Mixed copula model with stochastic
correlation
for CDO pricing
Chen, Jianli
;
Liu, Zhen
;
Li, Shenghong
- In:
Economic modelling
40
(
2014
),
pp. 167-174
Persistent link: https://www.econbiz.de/10010425701
Saved in:
3
Notes on exact and semi-exact Lévy models for the valuation of CDOs
Eichler, Andreas
;
Leobacher, Gunther
;
Zellinger, Heidrun
- In:
International journal of theoretical and applied finance
13
(
2010
)
6
,
pp. 979-1000
Persistent link: https://www.econbiz.de/10008905093
Saved in:
4
Option pricing with scheduled and unscheduled news flows
Pérignon, Christophe
-
2000
Persistent link: https://www.econbiz.de/10001469980
Saved in:
5
Pricing American options in the Heston model : a close look at incorporating
correlation
Ruckdeschel, Peter
;
Sayer, Tilman
;
Szimayer, Alexander
- In:
The journal of derivatives : the official publication …
20
(
2012
)
3
,
pp. 9-29
Persistent link: https://www.econbiz.de/10009725351
Saved in:
6
Pricing American options in the Heston model : a close look on incorporating
correlation
Ruckdeschel, Peter
;
Sayer, Tilman
;
Szimayer, Alexander
-
2011
Persistent link: https://www.econbiz.de/10009688311
Saved in:
7
A correlated stochastic volatility model measuring leverage and other stylized facts
Masoliver, Jaume
;
Perelló, Josep
- In:
International journal of theoretical and applied finance
5
(
2002
)
5
,
pp. 541-562
Persistent link: https://www.econbiz.de/10001687146
Saved in:
8
Multiple time scales in volatility and leverage correlations : a stochastic volatility model
Perelló, Josep
;
Masoliver, Jaume
;
Bouchaud, Jean-Philippe
- In:
Applied mathematical finance
11
(
2004
)
1
,
pp. 27-50
Persistent link: https://www.econbiz.de/10002001537
Saved in:
9
Mean-variance hedging and optimal investment in Heston's model with
correlation
Černý, Aleš
;
Kallsen, Jan
- In:
Mathematical finance : an international journal of …
18
(
2008
)
3
,
pp. 473-492
Persistent link: https://www.econbiz.de/10003752317
Saved in:
10
Copula dynamics in CDOs
Choros-Tomczyk, Barbara
;
Härdle, Wolfgang
;
Overbeck, Ludger
-
2012
conditions. Therefore, a
correlation
implied from tranches can be seen as a measure of the general health of the credit market …
Persistent link: https://www.econbiz.de/10009531437
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