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~isPartOf:"Journal of risk finance : the convergence of financial products and insurance"
~isPartOf:"The journal of computational finance"
~subject:"Kreditrisiko"
~type_genre:"Article in journal"
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Kreditrisiko
Derivat
64
Derivative
64
Option pricing theory
34
Optionspreistheorie
34
Credit risk
15
Stochastic process
14
Stochastischer Prozess
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derivatives pricing
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Kandhai, Drona
2
Arnsdorf, Matthias
1
Broccardo, Eleonora
1
Bujok, Karolina
1
Caramellino, Lucia
1
Chen, Yuwei
1
Christara, Christiana C.
1
Corelli, Angelo
1
Crépey, Stéphane
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Dixon, Matthew F.
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Feng, Qian
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Graaf, Cornelis S. L. de
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Muroi, Yoshifumi
1
Oosterlee, Cornelis Willebrordus
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Pagès, Gilles
1
Pollege, Samuel
1
Posch, Peter N.
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Reisinger, Christoph
1
Schertler, Andrea
1
Schönbucher, Philipp J.
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Sloot, Peter M. A.
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Stoerch, Saskia
1
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Journal of risk finance : the convergence of financial products and insurance
The journal of computational 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
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
Applied mathematical finance
7
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
Management science : journal of the Institute for Operations Research and the Management Sciences
4
Research in international business and finance
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Review of quantitative finance and accounting
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ECONIS (ZBW)
15
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1
Penalty methods for bilateral XVA pricing in European and American contingent claims by a partial differential equation model
Chen, Yuwei
;
Christara, Christiana C.
- In:
The journal of computational finance
24
(
2021
)
4
,
pp. 41-70
Persistent link: https://www.econbiz.de/10012544162
Saved in:
2
Gaussian process regression for derivative portfolio modeling and application to credit valuation adjustment computations
Crépey, Stéphane
;
Dixon, Matthew F.
- In:
The journal of computational finance
24
(
2020
)
1
,
pp. 47-81
Persistent link: https://www.econbiz.de/10012421957
Saved in:
3
A libor market model including credit risk under the real-world measure
Lopes, Sara Dutra
;
Vázquez, Carlos
- In:
The journal of computational finance
24
(
2020
)
3
,
pp. 111-141
Persistent link: https://www.econbiz.de/10012544160
Saved in:
4
Efficient estimation of sensitivities for counterparty credit risk with the finite difference Monte Carlo method
Graaf, Cornelis S. L. de
;
Kandhai, Drona
;
Sloot, Peter M. A.
- In:
The journal of computational finance
21
(
2017
)
1
,
pp. 83-113
Persistent link: https://www.econbiz.de/10011691615
Saved in:
5
Efficient computation of exposure profiles on real-world and risk-neutral scenarios for Bermudan swaptions
Feng, Qian
;
Jain, Shashi
;
Karlsson, Patrik
;
Kandhai, Drona
- In:
The journal of computational finance
20
(
2016
)
1
,
pp. 139-172
Persistent link: https://www.econbiz.de/10011639641
Saved in:
6
Issuers' credit risk and pricing of warrants in the recent financial crisis
Schertler, Andrea
;
Stoerch, Saskia
- In:
Journal of risk finance : the convergence of financial …
16
(
2015
)
4
,
pp. 444-462
Persistent link: https://www.econbiz.de/10011418215
Saved in:
7
The use and determinants of credit derivatives in Italian banks
Broccardo, Eleonora
;
Mazzuca, Maria
;
Yaldiz, Elmas
- In:
Journal of risk finance : the convergence of financial …
15
(
2014
)
4
,
pp. 417-436
Persistent link: https://www.econbiz.de/10010429742
Saved in:
8
Managing and trading sovereign risk using credit derivatives and government markets
Pollege, Samuel
;
Posch, Peter N.
- In:
Journal of risk finance : the convergence of financial …
14
(
2013
)
5
,
pp. 453-467
Persistent link: https://www.econbiz.de/10010209178
Saved in:
9
Numerical valuation of basket credit derivatives in structural jump-diffusion models
Bujok, Karolina
;
Reisinger, Christoph
- In:
The journal of computational finance
15
(
2011/12
)
4
,
pp. 115-158
Persistent link: https://www.econbiz.de/10009575385
Saved in:
10
Pricing credit derivatives using an asymptotic expansion approach
Muroi, Yoshifumi
- In:
The journal of computational finance
15
(
2011/12
)
3
,
pp. 135-171
Persistent link: https://www.econbiz.de/10009534163
Saved in:
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