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2013 Artikel A simple stochastic rate model
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A simple stochastic rate model for rate equity hybrid products. Applied Mathematical Finance 20 (5-6) (2013), 461–488 (with D. B. Madan, M. Pistorius and M. Yor)
Existiert in
Emeriti
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Ernst Eberlein
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Inhalte
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2013 Artikel Discrete tenor models for credit risky portfolios
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Discrete tenor models for credit risky portfolios driven by time-inhomogeneous Lévy processes. SIAM Journal on Financial Mathematics 4 (1) (2013), 616–649 (with Z. Grbac and T. Schmidt)
Existiert in
Emeriti
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Ernst Eberlein
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Inhalte
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2013 Artikel Fourier based valuation methods in mathematical finance
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Fourier based valuation methods in mathematical finance. In Quantitative Energy Finance, F. Benth, V. Kholodnyi, and P. Laurence (eds.), Springer (2013), pp. 85–114
Existiert in
Emeriti
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Ernst Eberlein
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Inhalte
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2013 Artikel Modeling risk weighted assets and
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Modeling risk weighted assets and the risk sensitivity of related capital requirements. The Journal of Risk 16 (2) (2013), 3–23 (with D. B. Madan and W. Schoutens)
Existiert in
Emeriti
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Ernst Eberlein
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Inhalte
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2013 Artikel Optimal claims with fixed payoff structure
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Optimal claims with fixed payoff structure. Coauthors: C. Bernard and S. Vanduffel. Preprint (2013; version: May 2014) (pdf). Journal of Applied Probability 51A (2014), 175–188
Existiert in
Emeriti
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Ludger Rüschendorf
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Contents
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2013 Artikel Optimality of payos in Levy models
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Existiert in
Mitarbeiter
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Pascal Beckedorf
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Inhalte
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2013 Artikel Optimality of payos in Levy models
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Existiert in
Mitarbeiter
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Ben Deitmar
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Inhalte
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2013 Artikel Optimality of payos in Levy models
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Existiert in
Mitarbeiter
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Moritz Ritter
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Inhalte
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2013 Artikel Rating based Lévy LIBOR model
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Rating based Lévy LIBOR model. Mathematical Finance 23 (4) (2013), 591-626 (with Z. Grbac)
Existiert in
Emeriti
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Ernst Eberlein
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Inhalte
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2013 Artikel Rsik bounds and factor models
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Rsik bounds and factor models. Coauthor: J. Ansari. Preprint (2018)
Existiert in
Emeriti
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Ludger Rüschendorf
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Contents
