Benth, F.E.; Di Nunno, G.; Khedher, A.
Robustness of option prices and their deltas in markets modeled by jump-diffusions
Communications on Stochastic Analysis
2011
5
2
285–307

Glau, K.; Eberlein, E.
A Collection of Results on a Feynman-Kac Representation of Weak Solutions of PIDEs and on Pricing Barrier and Lookback Options in Lévy Models
29 - 39
Contactforum Actuarial and Financial Mathematics Conference, 2011
2011

Eberlein, E.; Glau, K.
PIDEs for Pricing European Options in Lévy Models - A Fourier Approach
2011

Spitaler, P.; Bernhart, G.
Empirische Untersuchung ausgewählter CDO-Modelle
-
Kreditmärkte im Wandel
Felsenheimer, Klopfer, Mirth, von Altenstadt
Wiley-VCH Verlag
2011

Kraus, J.; Bertrand, P.; Zagst, R.
Theory of Performance Participation Strategies
working paper
2011
-

Hauptmann, J.; Zagst, R.
Wu, D.D.
Systemic Risk
-
Quantitative Financial Risk Management
Springer-Verlag, Berlin
2011

Eberlein, E.; Glau, K.; Papapantoleon, A.
Analyticity of the Wiener-Hopf Factors and Valuation of Exotic Options in Lévy Models
Advanced Mathematical Methods for Finance
2011
223-245

Czado, C.; Min, A.
Bayesian Inference for D-vines: Estimation and Model Selection
-
Dependence Modeling-Handbook on Vine Copulae
World Scientific
2011

Mai, J.-F.; Scherer, M.
CDO Bewertung mittels Marshall-Olkin Copulas
-
Kreditmärkte im Wandel
Jochen Felsenheimer, Wolfgang Klopfer (Assenagon Credit Management GmbH)
Wiley
2011

Höcht, S.; Scherer, M.
CDO Bewertung mittels Archimedischer Copulas
-
Kreditmärkte im Wandel
Jochen Felsenheimer, Wolfgang Klopfer (Assenagon Credit Management GmbH)
Wiley
2011