Modeling lifetime expected credit losses on bank loans
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2021 |
Chellathurai, Thamayanthi |
Comparing the small-sample estimation error of conceptually different risk measures
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2021 |
Auer, Benjamin R. |
Optimal dynamic futures portfolio under a multifactor Gaussian framework
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2021 |
Leung, Tim |
Two stage decumulation strategies for DC plan investors
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2021 |
Forsyth, Peter |
Survival investment strategies in a continuous-time market model with competition
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2021 |
Zhitlukhin, M. V. |
A unified market model for swaptions and constant maturity swaps
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2021 |
Tee, Chyng Wen |
Dynamic probabilistic forecasting with uncertainty
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2021 |
Benth, Fred Espen |
Latency and liquidity risk
|
2021 |
Cartea, Álvaro |
Inflation, central bank and short-term interest rates : A new model with calibration to market data
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2021 |
Antonacci, Flavia |
Large platonic markets with delays
|
2021 |
Limmer, Yannick |
Coherent risk measure on L0 : NA condition, pricing and dual representation
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2021 |
Lepinette, Emmanuel |
The value of being lucky : option backdating and nondiversifiable risk
|
2021 |
Henderson, Vicky |
Mixture of consistent stochastic utilities, and a priori randomness
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2021 |
Mrad, Mohamed |
Portfolio allocation in a Levy-type jump-diffusion model with nonlife insurance risk
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2021 |
Serrano, Rafael |
Efficient risk measures calculations for generalized CreditRisk+ models
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2021 |
Huang, Zhenzhen |
Sinh-acceleration for B-spline projection with option pricing applications
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2021 |
Bojarčenko, Svetlana I. |
Pricing Asian options with correlators
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2021 |
Lavagnini, Silvia |
The VIX and future information
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2021 |
Hess, Markus |
The affine rational potential model
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2021 |
Nguyen, The Anh |
The classification of term structure shapes in the two-factor vasicek model : a total positivity approach
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2021 |
Keller-Ressel, Martin |