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1
Introducing an analytical solution and an improved one-factor gaussian copula model for the pricing of heterogeneous CDOs
Gao, Xin
;
Wu, Binlin
;
Schäfer, Tobias
- In:
International journal of financial engineering
4
(
2017
)
2/3
,
pp. 1-17
Persistent link: https://www.econbiz.de/10011778286
Saved in:
2
Financial stochastic modeling and the subprime crisis
Latifa, Aitoutouhen
;
Faris, Hamza
- In:
International journal of economics, finance and …
4
(
2016
)
2
,
pp. 67-77
Persistent link: https://www.econbiz.de/10011657951
Saved in:
3
One-dimensional Markov-functional models driven by a non-Gaussian driver
Gogala, Jaka
;
Kennedy, Joanne E.
- In:
The journal of computational finance
23
(
2019
)
3
,
pp. 61-100
Persistent link: https://www.econbiz.de/10012162379
Saved in:
4
The functional stochastic discount factor
Tran, Ngoc-Khanh
- In:
The quarterly journal of finance
9
(
2019
)
4
,
pp. 1-49
Persistent link: https://www.econbiz.de/10012183345
Saved in:
5
Price volatilities of bitcoin futures
Guo, Zi-Yi
- In:
Finance research letters
43
(
2021
),
pp. 1-6
Persistent link: https://www.econbiz.de/10014633491
Saved in:
6
A copula approach to credit valuation adjustment for swaps under wrong-way risk
C̆erný, Jakub
;
Witzany, Jir̆í
- In:
The journal of credit risk : published quarterly by …
14
(
2018
)
1
,
pp. 31-43
Persistent link: https://www.econbiz.de/10011885459
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7
Pricing CDS spreads with Credit Valuation Adjustment using a mixture copula
Harb, Etienne
;
Louhichi, Wael
- In:
Research in international business and finance
39
(
2017
),
pp. 963-975
Persistent link: https://www.econbiz.de/10011912420
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8
Time-varying copula models in the shipping derivatives market
Shi, Wenming
;
Li, Kevin Xingang
;
Yang, Zhongzhi
;
Wang, …
- In:
Empirical economics : a journal of the Institute for …
53
(
2017
)
3
,
pp. 1039-1058
Persistent link: https://www.econbiz.de/10011892949
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9
Hedging downside risk of oil refineries : a vine copula approach
Sukcharoen, Kunlapath
;
Leatham, David J.
- In:
Energy economics
66
(
2017
),
pp. 493-507
Persistent link: https://www.econbiz.de/10011896556
Saved in:
10
Hedging strategy for ethanol processing with copula distributions
Awudu, Iddrisu
;
Wilson, William W.
;
Dahl, Bruce L.
- In:
Energy economics
57
(
2016
),
pp. 59-65
Persistent link: https://www.econbiz.de/10011698281
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