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Stable modeling of market and credit value at risk
Račev, Svetlozar T.; Schwartz, Eduardo S.; Khindanova, … - In: Handbook of heavy tailed distributions in finance, (pp. 249-328). 2003
Persistent link: https://www.econbiz.de/10001882089
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Stable non-Gaussian models for credit risk management
Martin, Bernhard; Račev, Svetlozar T.; Schwartz, Eduardo S. - In: Handbook of heavy tailed distributions in finance, (pp. 405-441). 2003
Persistent link: https://www.econbiz.de/10001882167
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Multifactor stochastic variance models in risk management : maximum entropy approach and lévy processes
Levin, Alexander; Tchernister, Alexander; Schwartz, … - In: Handbook of heavy tailed distributions in finance, (pp. 443-480). 2003
Persistent link: https://www.econbiz.de/10001882183
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Asset liability management : a review and some new results in the presence of heavy tails
Tokat, Yesim; Račev, Svetlozar T.; Schwartz, Eduardo S. - In: Handbook of heavy tailed distributions in finance, (pp. 509-546). 2003
Persistent link: https://www.econbiz.de/10001882195
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Portfolio choice theory with non-Gaussian distributed returns
Ortobelli, Sergio; Huber, Isabella; Račev, Svetlozar T.; … - In: Handbook of heavy tailed distributions in finance, (pp. 547-594). 2003
Persistent link: https://www.econbiz.de/10001882197
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A compound option model of production and intermediate inventories
Cortazar, Gonzalo - In: The journal of business : B 66 (1993) 4, pp. 517-540
Persistent link: https://www.econbiz.de/10001159927
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Prepayment, default, and the valuation of mortgage pass-through securities
Schwartz, Eduardo S. - In: The journal of business : B 65 (1992) 2, pp. 221-239
Persistent link: https://www.econbiz.de/10001124150
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The pricing of crude oil futures options contracts
Gibson, Rajna - In: Advances in futures and options research : a research annual 6 (1993), pp. 291-311
Persistent link: https://www.econbiz.de/10001145836
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Time-dependent variance and the pricing bond options
Schaefer, Stephen M. - In: The journal of finance : the journal of the American … 42 (1987) 5, pp. 1113-1128
Persistent link: https://www.econbiz.de/10001055484
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Time-invariant portfolio insurance strategies
Brennan, Michael J. - In: The journal of finance : the journal of the American … 43 (1988) 2, pp. 283-299
Persistent link: https://www.econbiz.de/10001059369