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Marking-to-model credit and operational risks of loan commitments: A Basel-2 advanced internal ratings-based approach
Chateau, John-Peter D. - In: International review of financial analysis 18 (2009) 5, pp. 260-271
Persistent link: https://www.econbiz.de/10008891784
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The stochastic-volatility American put option of banks' credit line commitments:: Valuation and policy implications
Chateau, J. -P.; Dufresne, D. - In: International Review of Financial Analysis 11 (2002) 2, pp. 159-181
Persistent link: https://www.econbiz.de/10005221773
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Banks' regulatory capital requirement : pricing the credit risk of short-term loan commitments
Chateau, Jean-Pierre; Dufresne, Daniel - In: Regulierung oder Deregulierung der Finanzmärkte : mit …, (pp. 243-262). 2002
Persistent link: https://www.econbiz.de/10001681395
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A general class of risk models
Dufresne, Daniel (contributor) - 2002
Persistent link: https://www.econbiz.de/10001642322
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Laguerre series for Asian and other options
Dufresne, Daniel - In: Mathematical finance : an international journal of … 10 (2000) 4, pp. 407-428
Persistent link: https://www.econbiz.de/10002179018
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Bessel processes and a functional of Brownian motion
Dufresne, Daniel (contributor) - 2004 - [Elektronische Ressource]
Persistent link: https://www.econbiz.de/10002237657
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Fitting combinations of exponentials to probability distributions
Dufresne, Daniel (contributor) - 2005
Persistent link: https://www.econbiz.de/10002575697
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Stochastic life annuities
Dufresne, Daniel (contributor) - 2004
Persistent link: https://www.econbiz.de/10002575907
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Asian and basket asymptotics
Dufresne, Daniel (contributor) - 2002
Persistent link: https://www.econbiz.de/10001696644
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G distributions and the beta-gamma algebra
Dufresne, Daniel - 2009
Persistent link: https://www.econbiz.de/10003901911