User: Guest  Login
Sort by:
and:
next

Biere, A.; Scherer, M.
The robust calibration of a structural-default model with jumps
945-954
Proceedings of the 3rd International Conference on Risk Management and Global e-Business
Inha University, Incheon, Korea
2009
Menzinger, B.; Schlosser, A.; Zagst, R.
Asset Allocation with Credit Instruments
working paper
2009
-
Mai, J.; Scherer, M.
Pricing k-th to default swaps in a Lévy-time framework
Journal of Credit Risk
2009
5
3
55-70
Mai, J.; Scherer, M.
Lévy-frailty copulas
Journal of Multivariate Analysis
2009
100
7
1567-1585
Mai, J.; Scherer, M.
Efficiently sampling exchangeable Cuadras-Augé copulas in high dimensions
Information Sciences
2009
179
17
2872-2877
Mai, J.; Scherer, M.
A tractable multivariate default model based on a stochastic time-change
International Journal of Theoretical and Applied Finance
2009
12
2
227-249
Kolbe, A.; Zagst, R.
Valuation of Mortgage-Backed Securities and Mortgage Derivatives: A Closed-Form Approximation
Applied Mathematical Finance
2009
16
5
401-427
Muhle-Karbe, J., Kallsen, J.; Voß, M.
Pricing options on variance in affine stochastic volatility models
Mathematical Finance
2009
-
Muhle-Karbe, J., Kallsen, J.
Method of Moment Estimation in Time-Changed Lévy Models
working paper
2009
-
Höcht, S.; Ng, K.H.; Wiesent, J.; Zagst, R.
Fit for Leverage - Modelling of Hedge Fund Returns in View of Risk Management Purposes
International Journal of Contemporary Mathematical Sciences
2009
4
19
895-916
Sort by:
and:
next