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Lost in contagion? : building a liquidation index from covariance dynamics
Wagalath, Lakshithe - In: International journal of theoretical and applied finance 20 (2017) 1, pp. 1-26
Persistent link: https://www.econbiz.de/10011686776
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A liquidation risk adjustment for value at risk and expected shortfall
Wagalath, Lakshithe; Zubelli, Jorge P. - In: International journal of theoretical and applied finance 21 (2018) 3, pp. 1-21
Persistent link: https://www.econbiz.de/10011889543
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VIX versus VXX : a joint analytical framework
Grasselli, Martino; Wagalath, Lakshithe - In: International journal of theoretical and applied finance 23 (2020) 5, pp. 1-39
Persistent link: https://www.econbiz.de/10012496543
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Modeling term structure dynamics : an infinite dimensional approach
Cont, Rama - In: International journal of theoretical and applied finance 8 (2005) 3, pp. 357-380
Persistent link: https://www.econbiz.de/10002893673
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Special issue: Proceedings of the Conference on New Directions in Quantitative Finance, Columbia University and Ecole Polytechnique, Paris, 2008
Cont, Rama (contributor) - Conference on New Directions in Quantitative Finance … - 2010
Persistent link: https://www.econbiz.de/10008904315
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Stress testing the resilience of financial networks
Amini, Hamed; Cont, Rama; Minca, Andreea - In: International journal of theoretical and applied finance 15 (2012) 1, pp. 1-20
Persistent link: https://www.econbiz.de/10009562144