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In memoriam : Marco Avellaneda (1955-2022)
Cont, Rama - In: Mathematical finance : an international journal of … 33 (2023) 1, pp. 3-15
Persistent link: https://www.econbiz.de/10014278655
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Close-Out Risk Evaluation (CORE) : A New Risk Management Approach for Central Counterparties
Avellaneda, Marco - 2013
This paper introduces the CORE methodology for managing risk of multi-market central-counterparties. CORE generalizes the classical SPAN method of stress scenarios by incorporating explicitly market liquidity of listed instruments and modeling the liquidity pro file of OTC instruments and the...
Persistent link: https://www.econbiz.de/10013083590
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Minimum-relative-entropy calibration of asset-pricing models
Avellaneda, Marco - In: International journal of theoretical and applied finance 1 (1998) 4, pp. 447-472
Persistent link: https://www.econbiz.de/10001255560
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Model uncertainty and its impact on the pricing of derivative instruments
Cont, Rama - In: Mathematical finance : an international journal of … 16 (2006) 3, pp. 519-547
Persistent link: https://www.econbiz.de/10003338693
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Volatility clustering in financial markets : empirical facts and agent-based models
Cont, Rama - In: Long memory in economics : with 50 tables, (pp. 289-309). 2006
Persistent link: https://www.econbiz.de/10003375648
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Credit default swaps and financial stability
Cont, Rama - In: Financial stability review : FSR 14 (2010), pp. 35-43
Persistent link: https://www.econbiz.de/10008647168
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The end of the waterfall : default resources of central counterparties
Cont, Rama - 2015
Persistent link: https://www.econbiz.de/10011391733
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The end of the waterfall : default resources of central counterparties
Cont, Rama - In: Journal of risk management in financial institutions 8 (2015) 4, pp. 365-389
Persistent link: https://www.econbiz.de/10011531210
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Modeling term structure dynamics : an infinite dimensional approach
Cont, Rama - In: International journal of theoretical and applied finance 8 (2005) 3, pp. 357-380
Persistent link: https://www.econbiz.de/10002893673
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Central clearing and risk transformation
Cont, Rama - 2017
Persistent link: https://www.econbiz.de/10011628370