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Option pricing models without probability : a rough paths approach
Armstrong, John; Bellani, Claudio; Brigo, Damiano; … - In: Mathematical Finance 31 (2021) 4, pp. 1494-1521
Persistent link: https://www.econbiz.de/10012538287
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Risk managing tail-risk seekers : VaR and expected shortfall vs S-shaped utility
Armstrong, John; Brigo, Damiano - In: Journal of banking & finance 101 (2019), pp. 122-135
Persistent link: https://www.econbiz.de/10012162636
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Coherent risk measures alone are ineffective in constraining portfolio losses
Armstrong, John; Brigo, Damiano - In: Journal of banking & finance 140 (2022), pp. 1-8
Persistent link: https://www.econbiz.de/10013463123
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C++ for financial mathematics
Armstrong, John; Armstrong, John - 2017
Persistent link: https://www.econbiz.de/10013548536
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British business archives as a research resource for European business history
Armstrong, John - 2018
Persistent link: https://www.econbiz.de/10013179728
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Changing morbidity patterns in Ireland : 1996 - 2006
Armstrong, John - In: Journal of the Statistical and Social Inquiry Society … 37 (2007/2008), pp. 113-133
Persistent link: https://www.econbiz.de/10009735968
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CDS options through candidate market models and the CDS-calibrated CIR++ stochastic intensity model
Brigo, Damiano - In: Credit risk : models, derivatives, and management, (pp. 393-425). 2008
Persistent link: https://www.econbiz.de/10003718585
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New developments on the Gaussian Projection Filter with small observation noise
Brigo, Damiano - 1996
Persistent link: https://www.econbiz.de/10000929725
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On the nice behaviour of the Gaussian projection filter with small observation noise
Brigo, Damiano - 1995
Persistent link: https://www.econbiz.de/10000910433
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A semi-structural method to estimate potential output : combining economic theory with a time-series filter
Butler, Leo - 1996
Persistent link: https://www.econbiz.de/10000617661