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CoCos with Extension Risk : A...
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Option pricing theory
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224
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17
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101
Pricing and hedging of CDO-squared tranches by using a one factor Lévy model
Guillaume, Florence
;
Jacobs, Philippe
;
Schoutens, Wim
- In:
International journal of theoretical and applied finance
12
(
2009
)
5
,
pp. 663-685
Persistent link: https://www.econbiz.de/10003899503
Saved in:
102
A note on the suboptimality of path-dependent pay-offs in Lévy markets
Vanduffel, Steven
;
Chernih, Andrew
;
Maj, Matheusz
; …
- In:
Applied mathematical finance
16
(
2009
)
3/4
,
pp. 315-330
Persistent link: https://www.econbiz.de/10003916188
Saved in:
103
Fast valuation and calibration of credit default swaps under Lévy dynamics
Fang, Fang
;
Jönsson, Henrik
;
Oosterlee, Cornelis W.
; …
- In:
The journal of computational finance
14
(
2010/11
)
2
,
pp. 57-86
Persistent link: https://www.econbiz.de/10008810136
Saved in:
104
On the suboptimality of path-dependent pay-offs in Lévy markets
Vanduffel, Steven
;
Chernih, Andrew
;
Schoutens, Wim
-
2007
Persistent link: https://www.econbiz.de/10003613733
Saved in:
105
Comparing some alternative Lévy base correlation models for pricing and hedging CDO tranches
Masol, Viktoriya
;
Schoutens, Wim
-
2008
Persistent link: https://www.econbiz.de/10003709746
Saved in:
106
Pricing credit default swaps under Lévy models
Cariboni, Jessica
;
Schoutens, Wim
- In:
The journal of computational finance
10
(
2006/07
)
4
,
pp. 71-91
Persistent link: https://www.econbiz.de/10003542263
Saved in:
107
Self exciting threshold interest rates models
Decamps, Marc
;
Goovaerts, Marc J.
;
Schoutens, Wim
- In:
International journal of theoretical and applied finance
9
(
2006
)
7
,
pp. 1093-1122
Persistent link: https://www.econbiz.de/10003395984
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108
Portfolio insurances, CPPI and CPDO, truth or illusion?
Joossens, Elisabeth
;
Schoutens, Wim
- In:
Alternative investments and strategies : credit, …
,
(pp. 259-294)
.
2010
Persistent link: https://www.econbiz.de/10008655200
Saved in:
109
Conic coconuts : the pricing of contingent capital notes using conic finance
Madan, Dilip B.
;
Schoutens, Wim
- In:
Mathematics and financial economics
4
(
2011
)
2
,
pp. 87-106
Persistent link: https://www.econbiz.de/10008987827
Saved in:
110
Contingent capital : an in-depth discussion
Maes, Stan
;
Schoutens, Wim
- In:
Economic notes : economic review of Banca Monte dei …
41
(
2012
)
1/2
,
pp. 59-79
Persistent link: https://www.econbiz.de/10009573743
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