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Analytical valuation of autocallable notes
Guillaume, Tristan - In: International journal of financial engineering 2 (2015) 2, pp. 1-23
Persistent link: https://www.econbiz.de/10011333447
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Modelling stochastic skew of FX options using SLV models with stochastic spot/vol correlation and correlated jumps
Itkin, Andrey - In: Applied mathematical finance 24 (2017) 5/6, pp. 485-519
Persistent link: https://www.econbiz.de/10011815291
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Capturing implied correlation skew from options prices via multiscale stochastic volatility models
Pellegrino, T. - In: International journal of financial engineering 7 (2020) 4, pp. 1-42
Persistent link: https://www.econbiz.de/10012603755
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Random matrix models for datasets with fixed time horizons
Zitelli, G. L. - In: Quantitative finance 20 (2020) 5, pp. 769-781
Persistent link: https://www.econbiz.de/10012262618
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Dependence of defaults and recoveries in structural credit risk models
Schäfer, Rudi; Koivusalo, Alexander F. R. - In: Economic modelling 30 (2013), pp. 1-9
Persistent link: https://www.econbiz.de/10009702275
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Loss distributions : computational efficiency in an extended framework
Stahl, Daniel H. - In: The journal of credit risk : published quarterly by … 11 (2015) 4, pp. 29-42
Persistent link: https://www.econbiz.de/10011442456
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Extreme Portfolio Loss Correlations in Credit Risk
Mühlbacher, Andreas - 2017
the case of large, overlapping credit portfolios. We analytically calculate the multivariate joint loss distribution of … to protect the more senior tranches from high losses. We analytically corroborate the observation that an extreme loss of … the subordinated creditor is likely to also yield a large loss of the senior creditor …
Persistent link: https://www.econbiz.de/10012953187
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Commodity spread option pricing and the economic fundamentals of crack spreads
Kolpakov, Ilya - 2014
Persistent link: https://www.econbiz.de/10010516044
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Quanto option pricing in the presence of fat tails and asymmetric dependence
Kim, Young Shin; Lee, Jaesung; Mittnik, Stefan; Park, Jiho - In: Journal of econometrics 187 (2015) 2, pp. 512-520
Persistent link: https://www.econbiz.de/10011499753
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Pricing swaps on discrete realized higher moments under the lévy process
Zhu, Wenli; Ruan, Xinfeng - In: Computational economics 53 (2019) 2, pp. 507-532
Persistent link: https://www.econbiz.de/10012134734