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A simple stylized model for CDOs
Brummelhuis, Raymond - In: Journal / The Capco Institute : journal of financial … 22 (2008), pp. 33-40
Persistent link: https://www.econbiz.de/10003748456
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Time-scaling of value-at-risk in GARCH(1,1) and AR(1)-GARCH(1,1) processes
Brummelhuis, Raymond; Kaufmann, Roger - In: Journal of risk 9 (2006/07) 4, pp. 39-94
Persistent link: https://www.econbiz.de/10003502686
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A Radial Basis Function scheme for option pricing in exponential Lévy models
Brummelhuis, Raymond; Chan, Ron T. L. - In: Applied mathematical finance 21 (2014) 3/4, pp. 238-269
Persistent link: https://www.econbiz.de/10010499707
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Principal component value at risk
Brummelhuis, Raymond; Cordóba, Antonio; Quintanilla, Maite - In: International journal of theoretical and applied finance 3 (2000) 3, pp. 541-545
Persistent link: https://www.econbiz.de/10001524229