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Pricing sovereign contingent convertible debt
Consiglio, Andrea; Tumminello, Michele; Zenios, Stauros … - In: International journal of theoretical and applied finance 21 (2018) 8, pp. 1-36
Persistent link: https://www.econbiz.de/10011970916
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Recognizing and visualizing copulas : an approach using local Gaussian approximation
Berentsen, Geir Drage; Støve, Bård; Tjostheim, Dag; … - In: Insurance / Mathematics & economics 57 (2014), pp. 90-103
Persistent link: https://www.econbiz.de/10010402717
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Bilateral counterparty risk valuation of CDS contracts with simultaneous defaults
Teng, Long; Ehrhardt, Matthias; Günther, Michael - In: International journal of theoretical and applied finance 16 (2013) 7, pp. 1-20
Persistent link: https://www.econbiz.de/10010233305
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Variance and volatility swaps under a two-factor stochastic volatility model with regime switching
He, Xin-Jiang; Zhu, Song-Ping - In: International journal of theoretical and applied finance 22 (2019) 4, pp. 1-19
Persistent link: https://www.econbiz.de/10012030900
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Natural gas-fired power plants valuation and optimization under Lévy copulas and regime switching
Safarov, Nemat; Atkinson, Colin - In: International journal of theoretical and applied finance 20 (2017) 1, pp. 1-38
Persistent link: https://www.econbiz.de/10011686797
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Cliquet-style return guarantees in a regime switching Lévy model
Hieber, Peter - In: Insurance / Mathematics & economics 72 (2017), pp. 138-147
Persistent link: https://www.econbiz.de/10011694412
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On a multi-dimensional risk model with regime switching
Wang, Guanqing; Wang, Guojing; Yang, Hailiang - In: Insurance / Mathematics & economics 68 (2016), pp. 73-83
Persistent link: https://www.econbiz.de/10011492469
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Option pricing using a regime switching stochastic discount factor
Elliott, Robert J.; Hamada, Ahmed S. - In: International journal of theoretical and applied finance 17 (2014) 3, pp. 1-26
Persistent link: https://www.econbiz.de/10010364754
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Optimal reinsurance strategies in regime-switching jump diffusion models : stochastic differential game formulation and numerical methods
Zhuo, Jin; Yin, George; Wu, Fuke - In: Insurance / Mathematics & economics 53 (2013) 3, pp. 733-746
Persistent link: https://www.econbiz.de/10010227891
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Multi-period defined contribution pension funds investment management with regime-switching and mortality risk
Yao, Haixiang; Chen, Ping; Li, Xun - In: Insurance / Mathematics & economics 71 (2016), pp. 103-113
Persistent link: https://www.econbiz.de/10011630616