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THEORY AND CALIBRATION OF SWAP...
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Nichtparametrisches Verfahren
7
Nonparametric statistics
7
Theorie
5
Theory
5
Portfolio selection
4
Portfolio-Management
4
Bootstrap approach
3
Bootstrap-Verfahren
3
Estimation theory
3
Risikomanagement
3
Risk management
3
Schätztheorie
3
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3
Stochastischer Prozess
3
Core
2
Credit risk
2
Estimation
2
Kreditrisiko
2
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Mathematische Optimierung
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Mortality
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Multivariate Verteilung
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Multivariate distribution
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Nichtlineare Optimierung
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Nonlinear programming
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Pension fund
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Pensionskasse
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Risk measure
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Schätzung
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Statistical test
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Volatilität
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Arbeitspapier
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Graue Literatur
10
Non-commercial literature
10
Working Paper
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English
17
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Scaillet, Olivier
17
Fermanian, Jean-David
2
Menoncin, Francesco
2
Barras, Laurent
1
Battocchio, Paolo
1
Cheng, Peng
1
Cosma, Antonio
1
Denuit, Michel
1
Galluccio, Stefano
1
Goderniaux, Anne-Cécile
1
Hagmann, Matthias
1
Huang, Zhijhang
1
Huber, Philippe
1
Ly, Jean-Michel
1
Medvedev, Alexey
1
Renault, Olivier
1
Sachs, Rainer von
1
Topaloglou, Nikolas
1
Victoria-Feser, Maria-Pia
1
Wermers, Russ
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International Center for Financial Asset Management and Engineering
9
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FAME research paper series
Research paper series / Swiss Finance Institute
41
Swiss Finance Institute Research Paper
29
Cahier de recherches / Faculté des Sciences Economiques et Sociales, Hautes Etudes Commerciales, Université de Genève
26
Série des documents de travail / Centre de Recherche en Économie et Statistique
17
Journal of econometrics
13
Cahier de recherche / Faculté des Sciences Economiques et Sociales, Hautes Etudes Commerciales, Université de Genève
12
Série des documents de travail du CREST / Institut National de la Statistique et des Etudes Economiques
9
Discussion paper
8
Finance and stochastics
5
Journal of empirical finance
5
Management science : journal of the Institute for Operations Research and the Management Sciences
5
Mathematical finance : an international journal of mathematics, statistics and financial theory
5
THEMA Working Papers
5
Discussion Papers (IRES - Institut de Recherches Economiques et Sociales)
4
Documents de travail / THEMA
4
European journal of operational research : EJOR
4
Journal of business & economic statistics : JBES ; a publication of the American Statistical Association
4
Journal of financial economics
4
Research paper / International Center for Financial Asset Management and Engineering
4
The journal of corporate finance : contracting, governance and organization
4
CORE discussion paper : DP
3
Econometrica : journal of the Econometric Society, an internat. society for the advancement of economic theory in its relation to statistics and mathematics
3
IRES discussion papers
3
International journal of forecasting
3
International journal of production economics
3
Journal of the Operational Research Society : OR
3
Physica A: Statistical Mechanics and its Applications
3
Working Paper
3
Accounting in Europe
2
CORE Discussion Papers RP
2
Discussion paper series / LSE Financial Markets Group
2
Econometric theory
2
Emerging markets, finance & trade : a journal of the Society for the Study of Emerging Markets
2
Energy economics
2
FINRISK Working Paper Series
2
Finance : revue de l'Association Française de Finance
2
Finance and Stochastics
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ECONIS (ZBW)
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Optimal Asset Allocation for Pension Funds Under Mortality Risk During the Accumulation and Decumulation Phases
Battocchio, Paolo
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contributor
); …
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2003
-
[Elektronische Ressource]
Persistent link: https://www.econbiz.de/10001795066
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2
Linear-quadratic jump-diffusion modelling with application to stochastic volatility
Cheng, Peng
(
contributor
);
Scaillet, Olivier
(
contributor
)
-
2002
-
[Elektronische Ressource]
Persistent link: https://www.econbiz.de/10001790927
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3
Sensitivity analysis of VaR expected shortfall for portfolios under netting agreements
Fermanian, Jean-David
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contributor
); …
-
2003
-
[Elektronische Ressource]
Persistent link: https://www.econbiz.de/10001791460
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4
A Kolmogorov-Smirnov type test for positive quadrant dependence
Scaillet, Olivier
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contributor
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2005
Persistent link: https://www.econbiz.de/10002634905
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5
Local multiplicative bias correction for asymmetric kernel density estimators
Hagmann, Matthias
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contributor
); …
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2003
-
[Elektronische Ressource]
Persistent link: https://www.econbiz.de/10001863914
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6
A simple calibration procedure of stochastic volatility models with jumps by short term asymptotics
Medvedev, Alexey
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contributor
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2003
-
[Elektronische Ressource]
Persistent link: https://www.econbiz.de/10001864584
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7
Mortality risk and real optimal asset allocation for pension funds
Menoncin, Francesco
(
contributor
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2003
-
[Elektronische Ressource]
Persistent link: https://www.econbiz.de/10001865031
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8
On the way to recovery: a nonparametric bias free estimation of recovery rate densities
Renault, Olivier
(
contributor
); …
-
2003
-
[Elektronische Ressource]
Persistent link: https://www.econbiz.de/10001865061
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9
Nonparametric estimation of conditional expected shortfall
Scaillet, Olivier
(
contributor
)
-
2004
-
[Elektronische Ressource]
Persistent link: https://www.econbiz.de/10002436384
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10
A Kolmogorov-Smirnov type test for shortfall dominance against parametric alternatives
Denuit, Michel
(
contributor
); …
-
2005
Persistent link: https://www.econbiz.de/10003074160
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