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~isPartOf:"Asia-Pacific financial markets"
~isPartOf:"Journal of mathematical finance"
~subject:"Korrelation"
~subject:"Kreditrisiko"
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Korrelation
Kreditrisiko
Derivat
64
Derivative
64
Option pricing theory
38
Optionspreistheorie
38
Stochastic process
17
Stochastischer Prozess
17
Credit risk
12
Option trading
11
Optionsgeschäft
11
Theorie
11
Theory
11
Hedging
10
Portfolio selection
10
Portfolio-Management
10
Black-Scholes model
8
Black-Scholes-Modell
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Credit derivative
6
Kreditderivat
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Volatility
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EU countries
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EU-Staaten
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Interest rate derivative
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Monte Carlo simulation
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Swap
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Zinsderivat
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Börsenkurs
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Correlation
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Credit Default Swap
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Estimation theory
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Geometric Brownian Motion
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Schätztheorie
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14
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Hao, Ruili
2
Baldeaux, Jan
1
Chen, Li
1
Filipović, Damir
1
Gu, Wenjing
1
Huang, Jhe-Jheng
1
Ji, Qin
1
Liang, Jin
1
Liu, Allen
1
Liu, Yinglin
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1
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1
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Muroi, Yoshifumi
1
Nabirye, Topilista
1
Ngare, Philip
1
Pellegrino, Tommaso
1
Platen, Eckhard
1
Sayah, Mabelle
1
So, Leh-Chyan
1
Takino, E. Kazuhiro
1
Tong, Zhigang
1
Wang, Shoubai
1
Wang, Tao
1
Zhao, Dianli
1
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Asia-Pacific financial markets
Journal of mathematical finance
International journal of theoretical and applied finance
43
Journal of banking & finance
32
The journal of credit risk : published quarterly by Incisive Media
20
The journal of fixed income
17
Review of derivatives research
13
Finance and economics discussion series
12
The journal of computational finance
12
The journal of futures markets
12
Journal of risk management in financial institutions
11
The North American journal of economics and finance : a journal of financial economics studies
11
Finance research letters
10
International review of financial analysis
10
Journal of financial economics
10
The journal of financial market infrastructures
10
Applied mathematical finance
9
European journal of operational research : EJOR
9
SpringerLink / BĂĽcher
9
The credit derivatives handbook : global perspectives, innovations, and market drivers
9
The journal of derivatives : the official publication of the International Association of Financial Engineers
9
Wiley finance
9
Credit derivatives : the definitive guide
8
Journal of financial intermediation
8
Applied economics letters
7
International review of economics & finance : IREF
7
Journal of empirical finance
7
Quantitative finance
7
Research paper series / Swiss Finance Institute
7
Schriftenreihe Finanzmanagement
7
Discussion paper
6
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
Research in international business and finance
6
Risks : open access journal
6
The European journal of finance
6
Working paper series
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CFS working paper series
5
Finance and stochastics
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ECONIS (ZBW)
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1
Embedding stochastic correlation into the pricing of FX quanto options under stochastic volatility models
Pellegrino, Tommaso
- In:
Journal of mathematical finance
9
(
2019
)
3
,
pp. 455-493
Persistent link: https://www.econbiz.de/10012210363
Saved in:
2
Application of copula-GARCH to estimate VaR of a portfolio with credit default swaps
Huang, Jhe-Jheng
;
So, Leh-Chyan
- In:
Journal of mathematical finance
8
(
2018
)
2
,
pp. 382-407
Persistent link: https://www.econbiz.de/10011874816
Saved in:
3
Counterparty credit risk in OTC derivatives under Basel III
Sayah, Mabelle
- In:
Journal of mathematical finance
7
(
2017
)
1
,
pp. 1-38
Persistent link: https://www.econbiz.de/10011658201
Saved in:
4
A stochastic correlation model with time change for pricing credit spread options
Tong, Zhigang
;
Liu, Allen
- In:
Journal of mathematical finance
7
(
2017
)
2
,
pp. 445-466
Persistent link: https://www.econbiz.de/10011673996
Saved in:
5
Attenuated model of pricing credit default swap under the fractional Brownian motion environment
Gu, Wenjing
;
Liu, Yinglin
;
Hao, Ruili
- In:
Journal of mathematical finance
6
(
2016
)
2
,
pp. 247-259
Persistent link: https://www.econbiz.de/10011543929
Saved in:
6
Foreign exchange derivative pricing with stochastic correlation
Nabirye, Topilista
;
Ngare, Philip
;
Mungatu, Joseph
- In:
Journal of mathematical finance
6
(
2016
)
5
,
pp. 887-899
Persistent link: https://www.econbiz.de/10011658109
Saved in:
7
The pricing of credit derivatives and estimation of default probability
Zhou, Hanghang
;
Zhao, Dianli
- In:
Journal of mathematical finance
5
(
2015
)
3
,
pp. 243-248
Persistent link: https://www.econbiz.de/10011438503
Saved in:
8
Credit derivative valuation and parameter estimation for multi-factor affine CIR-type hazard rate model
Maboulou, Alma P. Bimbabou
;
Mashele, Hopolang P.
- In:
Journal of mathematical finance
5
(
2015
)
3
,
pp. 273-285
Persistent link: https://www.econbiz.de/10011438513
Saved in:
9
Credit derivative evaluation and CVA under the benchmark approach
Baldeaux, Jan
;
Platen, Eckhard
- In:
Asia-Pacific financial markets
22
(
2015
)
3
,
pp. 305-331
Persistent link: https://www.econbiz.de/10011524811
Saved in:
10
Pricing credit default swap under fractional Vasicek interest rate model
Hao, Ruili
;
Liu, Yonghui
;
Wang, Shoubai
- In:
Journal of mathematical finance
4
(
2014
)
1
,
pp. 10-20
Persistent link: https://www.econbiz.de/10010422093
Saved in:
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