Applications of copulas for the calculation of Value-at-Risk
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2002 |
Rank, Jörn |
Rating migrations
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2002 |
Höse, Steffi |
Sensitivity analysis of credit portfolio models
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2002 |
Kiesel, Rüdiger |
Trading on deviations of implied and historical densities
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2002 |
Blaskowitz, Oliver Jim |
An empirical likelihood goodness-of-fit test for diffusions
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2002 |
Chen, Song Xi |
Approximating value at risk in conditional Gaussian models
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2002 |
Jaschke, Stefan R. |
How precise are price distributions predicted by implied binomial trees?
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2002 |
Härdle, Wolfgang |
Statistical process control
|
2002 |
Knoth, Sven |
Simulation based option pricing
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2002 |
Lüssem, Jens |
Multivariate volatility models
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2002 |
Fengler, Matthias R. |
Locally time homogeneous time series modeling
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2002 |
Mercurio, Danilo |
Net based spreadsheets in quantitative finance
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2002 |
Aydinli, Gökhan |
Quantification of spread risk by means of historical simulation
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2002 |
Frisch, Christoph |
The analysis of implied volatilities
|
2002 |
Fengler, Matthias R. |
Estimating state-price densities with nonparametric regression
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2002 |
Huynh, Kim |
A simple state space model of house prices
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2002 |
Schulz, Rainer |
Long memory effects trading strategy
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2002 |
Blaskowitz, Oliver Jim |
Nonparametric estimators of GARCH processes
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2002 |
Franke, Jürgen |