| 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 |
| 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 |
| Option implied VIX, Skew and Kurtosis term structures
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2021 |
Madan, Dilip B. |
| CVA and vulnerable options in Stochastic volatility models
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2021 |
Alòs, Elisa |
| Consistent upper price bounds for exotic options
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2021 |
Bäuerle, Nicole |
| Polynomial term structure models
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2021 |
Cheng, Si |
| Decomposition formula for rough Volterra stochastic volatility models
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2021 |
Merino, Raúl |
| Asset dependency structures and portfolio insurance strategies
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2021 |
Mantilla-Garcia, Daniel |
| Pricing American options with the Runge-Kutta-Legendre finite difference scheme
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2021 |
Le Floc'h, Fabien |
| An ergodic BSDE risk representation in a jump-diffusion framework
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2021 |
Guambe, Calisto |
| From bid-ask credit default swap quotes to risk-neutral default probabilities using distorted expectations
|
2021 |
Michielon, Matteo |
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