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A general stochastic volatility model for the pricing and forecasting of interest rate derivatives

Trolle, Anders B.; Schwartz, Eduardo S. - 2006

Persistent link: https://www.econbiz.de/10003343404

Dynamic consumption and asset allocation with derivative securities

Hsuku, Yuan-Hung - In: Quantitative fund management, (pp. 43-66). 2009

Persistent link: https://www.econbiz.de/10003796940

The effect of introducing a non-redundant derivative on the volatility of stock-market returns when agents differ in risk aversion

Bhamra, Harjoat Singh; Uppal, Raman - In: The review of financial studies 22 (2009) 6, pp. 2303-2330

Persistent link: https://www.econbiz.de/10003866729

A general stochastic volatility model for the pricing of interest rate derivatives

Trolle, Anders B.; Schwartz, Eduardo S. - In: The review of financial studies 22 (2009) 5, pp. 2007-2057

Persistent link: https://www.econbiz.de/10003886038

Interacting particle systems for the computation of rare credit portfolio losses

Carmona, René; Fouque, Jean-Pierre; Vestal, Douglas - In: Finance and stochastics 13 (2009) 4, pp. 613-633

Persistent link: https://www.econbiz.de/10003899538

CDO and HAC

Choroś, Barbara; Härdle, Wolfgang; Okhrin, Ostap - 2009

Modelling portfolio credit risk is one of the crucial challenges faced by financial services industry in the last few years. We propose the valuation model of collateralized debt obligations (CDO) based on copula functions with up to three parameters, with default intensities estimated from...