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~isPartOf:"International journal of financial engineering"
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International journal of financial engineering
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State-space of the Vasicek model for long-term bonds with Kalman filter
Mawonike, Romeo
;
Ikpe, Dennis
;
Gyamerah, Samuel Asante
- In:
International journal of financial engineering
10
(
2023
)
2
,
pp. 1-28
Persistent link: https://www.econbiz.de/10014304258
Saved in:
2
Efficient computation of Value-at-Risk and Expected Shortfall in large and heterogeneous credit portfolios: application to default risk charge
Lehdili, Noureddine
;
Givi, Arshia
- In:
Risk and decision analysis
7
(
2018
)
3/4
,
pp. 91-105
Persistent link: https://www.econbiz.de/10012174432
Saved in:
3
Trading VIX futures under mean reversion with regime switching
Li, Jiao
- In:
International journal of financial engineering
3
(
2016
)
3
,
pp. 1-20
Persistent link: https://www.econbiz.de/10011588132
Saved in:
4
Optimal starting-stopping and switching of a CIR process with fixed costs
Leung, Tim
;
Li, Xin
;
Wang, Zheng
- In:
Risk and decision analysis
5
(
2014
)
2/3
,
pp. 149-161
Persistent link: https://www.econbiz.de/10011285058
Saved in:
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