Closed form pricing of two-asset barrier options with stochastic covariance
Applied Mathematical Finance
2014
21
4
363-397
Forecasting market turbulences using regime-switching models
Financial Markets and Portfolio Management
2014
28
2
139-164
Valuation of Reverse Mortgages under (limited) Default Risk
European Journal of Finance
2010
16
4
305-327
The Crash-NIG-Factor Copula Model: Modeling dependence in Credit Portfolios through the Crisis
European Actuarial Journal
2013
3
407-438
Pricing Distressed CDOs with Stochastic Recovery
Review of Derivatives Research
2010
13
3
219-244