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~subject:"Black-Scholes model"
~subject:"Kreditrisiko"
~type_genre:"Article in journal"
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A cost-benefit analysis of capital requirements adjusted for model risk
Farkas, Walter
;
Fringuellotti, Fulvia
;
Tunaru, Radu
- In:
The journal of corporate finance : contracting, …
65
(
2020
),
pp. 1-22
Persistent link: https://www.econbiz.de/10012423657
Saved in:
2
A general closed form option pricing formula
Necula, Ciprian
;
Drimus, Gabriel
;
Farkas, Walter
- In:
Review of derivatives research
22
(
2019
)
1
,
pp. 1-40
Persistent link: https://www.econbiz.de/10012311636
Saved in:
3
Beyond cash-additive risk measures : when changing the numéraire fails
Farkas, Walter
;
Koch Medina, Pablo
;
Munari, Cosimo
- In:
Finance and stochastics
18
(
2014
)
1
,
pp. 145-173
Persistent link: https://www.econbiz.de/10010235455
Saved in:
4
Capital requirements with defaultable securities
Farkas, Walter
;
Koch Medina, Pablo
;
Munari, Cosimo
- In:
Insurance / Mathematics & economics
55
(
2014
),
pp. 58-67
Persistent link: https://www.econbiz.de/10010366206
Saved in:
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