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~isPartOf:"Applied mathematical finance"
~subject:"Kreditrisiko"
~type_genre:"Article in journal"
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Kreditrisiko
Derivat
79
Derivative
79
Option pricing theory
61
Optionspreistheorie
61
Stochastic process
24
Stochastischer Prozess
24
Theorie
23
Theory
23
Volatility
23
Volatilität
23
Option trading
16
Optionsgeschäft
16
Hedging
14
Yield curve
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Zinsstruktur
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Black-Scholes model
7
Black-Scholes-Modell
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Credit risk
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Interest rate derivative
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Swap
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Zinsderivat
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Incomplete market
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Simulation
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Unvollkommener Markt
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Lévy processes
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Energiemarkt
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Article in journal
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English
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Sircar, Kaushik Ronnie
2
Becherer, Dirk
1
Chiu, Chun-Yuan
1
Jain, Shashi
1
Karlsson, Patrik
1
Kercheval, Alec
1
Mai, Jan-Frederik
1
Olivares, Pablo
1
Oosterlee, Cornelis Willebrordus
1
Papageorgiou, E.
1
Papageorgiou, Evan
1
Schenk, Steffen
1
Scherer, Matthias
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Ward, Ian
1
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Applied mathematical finance
International journal of theoretical and applied finance
40
Journal of banking & finance
32
The journal of credit risk : published quarterly by Incisive Media
19
The journal of fixed income
17
Review of derivatives research
13
Journal of risk management in financial institutions
11
The North American journal of economics and finance : a journal of financial economics studies
11
The journal of computational finance
11
Journal of financial economics
10
The journal of financial market infrastructures
10
The journal of derivatives : the official publication of the International Association of Financial Engineers
9
The journal of futures markets
9
European journal of operational research : EJOR
8
Journal of financial intermediation
8
Finance research letters
7
International review of economics & finance : IREF
7
International review of financial analysis
7
Journal of empirical finance
7
Journal of mathematical finance
7
Quantitative finance
7
Journal of international financial markets, institutions & money
6
Journal of securities operations & custody
6
Mathematical finance : an international journal of mathematics, statistics and financial theory
6
The European journal of finance
6
Applied economics letters
5
Asia-Pacific financial markets
5
Finance and stochastics
5
Journal of financial markets
5
Journal of financial stability
5
Risks : open access journal
5
Finanz-Betrieb : FB ; Zeitschrift für Unternehmensfinanzierung und Finanzmanagement
4
IMA journal of management mathematics
4
International journal of financial engineering
4
Journal of economic dynamics & control
4
Journal of financial services research : JFSR
4
Journal of risk finance : the convergence of financial products and insurance
4
Management science : journal of the Institute for Operations Research and the Management Sciences
4
Research in international business and finance
4
Review of quantitative finance and accounting
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ECONIS (ZBW)
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1
Modelling credit risk in the jump threshold framework
Chiu, Chun-Yuan
;
Kercheval, Alec
- In:
Applied mathematical finance
25
(
2018
)
5/6
,
pp. 411-433
Persistent link: https://www.econbiz.de/10012129172
Saved in:
2
Counterparty credit exposures for interest rate derivatives using the stochastic grid bundling method
Karlsson, Patrik
;
Jain, Shashi
;
Oosterlee, Cornelis …
- In:
Applied mathematical finance
23
(
2016
)
3/4
,
pp. 175-196
Persistent link: https://www.econbiz.de/10011704227
Saved in:
3
A multivariate default model with spread and event risk
Mai, Jan-Frederik
;
Olivares, Pablo
;
Schenk, Steffen
; …
- In:
Applied mathematical finance
21
(
2014
)
1/2
,
pp. 51-83
Persistent link: https://www.econbiz.de/10010351857
Saved in:
4
Exponential Lévy models extended by a jump to default
Yamazaki, Akira
- In:
Applied mathematical finance
20
(
2013
)
3/4
,
pp. 211-228
Persistent link: https://www.econbiz.de/10010187668
Saved in:
5
Optimal weak static hedging of equity and credit risk using derivatives
Becherer, Dirk
;
Ward, Ian
- In:
Applied mathematical finance
17
(
2010
)
1/2
,
pp. 1-28
Persistent link: https://www.econbiz.de/10003975242
Saved in:
6
Multiscale intensity models and name grouping for valuation of multi-name credit derivatives
Papageorgiou, Evan
;
Sircar, Kaushik Ronnie
- In:
Applied mathematical finance
16
(
2009
)
3/4
,
pp. 353-383
Persistent link: https://www.econbiz.de/10003916203
Saved in:
7
Multiscale intensity models for single name credit derivatives
Papageorgiou, E.
;
Sircar, Kaushik Ronnie
- In:
Applied mathematical finance
15
(
2008
)
1/2
,
pp. 73-105
Persistent link: https://www.econbiz.de/10003751113
Saved in:
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