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Value-at-risk computations in stochastic volatility models using second-order weak approximation schemes
Lütkebohmert, Eva; Matchie, Lydienne - In: International journal of theoretical and applied finance 17 (2014) 1, pp. 1-26
Persistent link: https://www.econbiz.de/10010363958
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Optimality of payoffs in Lévy models
Hammerstein, Ernst August v.; Lütkebohmert, Eva; … - In: International journal of theoretical and applied finance 17 (2014) 6, pp. 1-46
Persistent link: https://www.econbiz.de/10010438495
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Robust bounds for derivative prices in markovian models
Sester, Julian - In: International journal of theoretical and applied finance 23 (2020) 3, pp. 1-39
Persistent link: https://www.econbiz.de/10012271014
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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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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