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The journal of computational finance
International journal of theoretical and applied finance
19
Finanzmarkt und Portfolio-Management
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Bank- und finanzwirtschaftliche Forschungen
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Journal of economic dynamics & control
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Variance optimal hedging with application to electricity markets
Warin, Xavier
- In:
The journal of computational finance
23
(
2019
)
3
,
pp. 33-59
Persistent link: https://www.econbiz.de/10012162373
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2
Efficient estimation of sensitivities for counterparty credit risk with the finite difference Monte Carlo method
Graaf, Cornelis S. L. de
;
Kandhai, Drona
;
Sloot, Peter M. A.
- In:
The journal of computational finance
21
(
2017
)
1
,
pp. 83-113
Persistent link: https://www.econbiz.de/10011691615
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3
BSLP: Markovian bivariate spread-loss model for portfolio credit derivatives
Arnsdorf, Matthias
;
Halperin, Igor
- In:
The journal of computational finance
12
(
2008/09
)
2
,
pp. 77-107
Persistent link: https://www.econbiz.de/10009534630
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4
Gaussian process regression for derivative portfolio modeling and application to credit valuation adjustment computations
Crépey, Stéphane
;
Dixon, Matthew F.
- In:
The journal of computational finance
24
(
2020
)
1
,
pp. 47-81
Persistent link: https://www.econbiz.de/10012421957
Saved in:
5
A libor market model including credit risk under the real-world measure
Lopes, Sara Dutra
;
Vázquez, Carlos
- In:
The journal of computational finance
24
(
2020
)
3
,
pp. 111-141
Persistent link: https://www.econbiz.de/10012544160
Saved in:
6
The standard market risk model of the Swiss solvency test : an analytic solution
Niedermayer, Andras
- In:
The journal of computational finance
23
(
2019
)
2
,
pp. 59-71
Persistent link: https://www.econbiz.de/10012111262
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