Correlation, smile, volatility skew, and systematic risk sensitivity of tranches
Alfred Hamerle; Andreas Igl, and Kilian Plank
| Year of publication: |
2012
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|---|---|
| Authors: | Hamerle, Alfred ; Igl, Andreas ; Plank, Kilian |
| Published in: |
The journal of derivatives : the official publication of the International Association of Financial Engineers. - New York, NY : Pageant Media Ltd., ISSN 1074-1240, ZDB-ID 1169004-5. - Vol. 19.2012, 3, p. 9-27
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| Subject: | Volatilität | Volatility | Korrelation | Correlation | Risiko | Risk | Optionsgeschäft | Option trading | CAPM | Systemrisiko | Systemic risk | Optionspreistheorie | Option pricing theory | Asset-Backed Securities | Asset-backed securities | Statistische Verteilung | Statistical distribution |
| Extent: | graph. Darst. |
|---|---|
| Type of publication: | Article |
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10009671109