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Liquidity risk in derivatives valuation : an improved credit proxy method
Sourabh, Sumit; Hofer, Markus; Kandhai, Drona - In: Quantitative finance 18 (2018) 3, pp. 467-481
Persistent link: https://www.econbiz.de/10011906396
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Variance reduction for risk measures with importance sampling in nested simulation
Xing, Yue; Sit, Tony; Wong, Hoi Ying - In: Quantitative finance 22 (2022) 4, pp. 657-673
Persistent link: https://www.econbiz.de/10013367849
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Deep reinforcement learning for option pricing and hedging under dynamic expectile risk measures
Marzban, Saeed; Delage, Erick; Li, Jonathan Yu-Meng - In: Quantitative finance 23 (2023) 10, pp. 1411-1430
Persistent link: https://www.econbiz.de/10014419168
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Equal risk pricing and hedging of financial derivatives with convex risk measures
Marzban, Saeed; Delage, Erick; Li, Jonathan Yu-Meng - In: Quantitative finance 22 (2022) 1, pp. 47-73
Persistent link: https://www.econbiz.de/10012872521
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Simulation-based Value-at-Risk for nonlinear portfolios
Chen, Junyao; Sit, Tony; Wong, Hoi Ying - In: Quantitative finance 19 (2019) 10, pp. 1639-1658
Persistent link: https://www.econbiz.de/10012194812
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Hedging cryptos with Bitcoin futures
Liu, Francis; Packham, Natalie; Lu, Meng-Jou; Härdle, … - In: Quantitative finance 23 (2023) 5, pp. 819-841
Persistent link: https://www.econbiz.de/10014304363
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Debt collateralization and maximal leverage
Gong, Feixue; Phelan, Gregory - 2015
Persistent link: https://www.econbiz.de/10011333092
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Debt collateralization, capital structure, and maximal Leverage
Gong, Feixue; Phelan, Gregory - 2019 - This version: July 31, 2019
Persistent link: https://www.econbiz.de/10012116220
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Debt collateralization, structured finance, and the CDS basis
Gong, Feixue; Phelan, Gregory - 2019 - This version: September 30, 2019
Persistent link: https://www.econbiz.de/10012116456
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Collateral constraints, tranching, and price bases
Gong, Feixue; Phelan, Gregory - 2021 - This version: April 6, 2021
Persistent link: https://www.econbiz.de/10012603945