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~isPartOf:"Mathematical finance : an international journal of mathematics, statistics and financial theory"
~isPartOf:"Operations research letters"
~person:"Brigo, Damiano"
~person:"Gombani, Andrea"
~subject:"Optionspreistheorie"
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Optionspreistheorie
Derivat
4
Derivative
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Option pricing theory
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Credit risk
2
Kreditrisiko
2
Kreditsicherung
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Swap
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Valuation adjustments
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Zinsstruktur
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arbitrage-free credit valuation adjustment
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bilateral CVA
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bond option pricing
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Brigo, Damiano
Gombani, Andrea
Li, Lingfei
2
Linetsky, Vadim
2
Mendoza-Arriaga, Rafael
2
Ankirchner, Stefan
1
Arai, Takuji
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Aïd, René
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Bayraktar, Erhan
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Biagini, Francesca
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Buescu, C.
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Fu, Michael
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Fukasawa, Masaaki
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Gong, Ruoting
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Guéant, Olivier
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Houdré, Christian
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Imkeller, Peter
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Jiang, Guangxin
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Joshu, Mark S.
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Kallsen, Jan
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Kokholm, Thomas
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Kwok, Yue-Kuen
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Levendorskij, Sergej Z.
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Mathematical finance : an international journal of mathematics, statistics and financial theory
Operations research letters
International journal of theoretical and applied finance
2
Finance and stochastics
1
Options - 45 years since the publication of the Black-Scholes-Merton model : the Gershon Fintech Center Conference
1
Springer Finance
1
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ECONIS (ZBW)
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Funding, repo and credit inclusive valuation as modified option pricing
Brigo, Damiano
;
Buescu, C.
;
Rutkowski, Marek
- In:
Operations research letters
45
(
2017
)
6
,
pp. 665-670
Persistent link: https://www.econbiz.de/10011783094
Saved in:
2
Arbitrage-free multifactor term structure models : a theory based on stochastic control
Gombani, Andrea
;
Runggaldier, Wolfgang J.
- In:
Mathematical finance : an international journal of …
23
(
2013
)
4
,
pp. 659-686
Persistent link: https://www.econbiz.de/10010187681
Saved in:
3
An exact formula for default swaptions' pricing in the SSRJD stochastic intensity model
Brigo, Damiano
;
El-Bachir, Naoufel
- In:
Mathematical finance : an international journal of …
20
(
2010
)
3
,
pp. 365-382
Persistent link: https://www.econbiz.de/10008665084
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