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An infinite factor model for credit risk
Schmidt, Thorsten - In: International journal of theoretical and applied finance 9 (2006) 1, pp. 43-68
Persistent link: https://www.econbiz.de/10003285916
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Representation of BSDE-based dynamic risk measures and dynamic capital allocations
Kromer, Eduard; Overbeck, Ludger - In: International journal of theoretical and applied finance 17 (2014) 5, pp. 1-16
Persistent link: https://www.econbiz.de/10010437199
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Differentiability of BSVIEs and dynamic capital allocations
Kromer, Eduard; Overbeck, Ludger - In: International journal of theoretical and applied finance 20 (2017) 7, pp. 1-26
Persistent link: https://www.econbiz.de/10011763938
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Conditional density models for asset pricing
Filipović, Damir; Hughston, Lane P.; Macrina, Andrea - In: International journal of theoretical and applied finance 15 (2012) 1, pp. 1-24
Persistent link: https://www.econbiz.de/10009562159
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Equilibrium prices for monetary utility functions
Filipović, Damir; Kupper, Michael - In: International journal of theoretical and applied finance 11 (2008) 3, pp. 325-343
Persistent link: https://www.econbiz.de/10003733151
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CDO term structure modelling with Lévy processes and the relation to market models
Schmidt, Thorsten; Zabczyk, Jerzy - In: International journal of theoretical and applied finance 15 (2012) 1, pp. 1-19
Persistent link: https://www.econbiz.de/10009562136
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A shot noise model for financial assets
Altmann, Timo; Schmidt, Thorsten; Stute, Winfried - In: International journal of theoretical and applied finance 11 (2008) 1, pp. 86-106
Persistent link: https://www.econbiz.de/10003692728
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Defaultable term structures driven by semimartingales
Gümbel, Sandrine; Schmidt, Thorsten - In: International journal of theoretical and applied finance 24 (2021) 6/7, pp. 1-27
Persistent link: https://www.econbiz.de/10012807871