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Die liquiden Indextranchen des DJ iTraxx und ihre Bewertung
Moosbrucker, Thomas - In: Finanz-Betrieb : FB ; Zeitschrift für … 9 (2007) 3, pp. 162-166
Persistent link: https://www.econbiz.de/10003456207
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Valuation of portfolio credit derivatives : theory and application
Moosbrucker, Thomas - 2007
Persistent link: https://www.econbiz.de/10003423570
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Explaining the correlation smile using variance gamma distributions
Moosbrucker, Thomas - In: The journal of fixed income 16 (2006) 1, pp. 71-87
Persistent link: https://www.econbiz.de/10003376596
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Lévy processes for the valuation of CDO tranches
Moosbrucker, Thomas - In: The definitive guide to CDOs : market, application, …, (pp. 293-318). 2008
Persistent link: https://www.econbiz.de/10003918723
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Valuation of portfolio credit derivatives : theory and application
Moosbrucker, Thomas - 2007
Persistent link: https://www.econbiz.de/10004880689
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EXPLAINING THE CORRELATION SMILE USING VARIANCE GAMMA DISTRIBUTIONS
Moosbrucker, Thomas - In: The journal of fixed income 16 (2006) 1, pp. 71
Persistent link: https://www.econbiz.de/10007289940
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Regulatory treatment of the double default effect under the New Basel Accord: how conservative is it?
Grundke, Peter - In: Review of managerial science 2 (2008) 1, pp. 37-59
Persistent link: https://www.econbiz.de/10003729989
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On the applicability of a fourier based approach to integrated market and credit portfolio models
Grundke, Peter - In: Operations research proceedings 2005 : selected papers …, (pp. 211-216). 2006
Persistent link: https://www.econbiz.de/10003347533
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Importance sampling for integrated market and credit portfolio models
Grundke, Peter - In: European journal of operational research : EJOR 194 (2009) 1, pp. 206-226
Persistent link: https://www.econbiz.de/10003835434
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Computational aspects of integrated market and credit portfolio models
Grundke, Peter - In: OR spectrum : quantitative approaches in management 29 (2007) 2, pp. 259-294
Persistent link: https://www.econbiz.de/10003464172