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Quantitative assessment of securitisation deals

Campolongo, Francesca; Jönsson, Henrik; Schoutens, Wim - 2012

Persistent link: https://www.econbiz.de/10009623223

Sense and sensitivity : an input space odyssey for asset-backed security ratings

Di Girolamo, Francesca; Jönsson, Henrik; Campolongo, … - In: International journal of financial research 3 (2012) 4, pp. 46-68

Persistent link: https://www.econbiz.de/10009701833

Close form pricing formulas for Coupon Cancellable CoCos

Corcuera, José Manuel; De Spiegeleer, Jan; Barbachan, … - In: Journal of banking & finance 42 (2014), pp. 339-351

Persistent link: https://www.econbiz.de/10010408370

Fast valuation and calibration of credit default swaps under Lévy dynamics

Fang, Fang; Jönsson, Henrik; Oosterlee, Cornelis W.; … - In: The journal of computational finance 14 (2010/11) 2, pp. 57-86

Persistent link: https://www.econbiz.de/10008810136

Single name credit default swaptions meet single sided jump models

Jönsson, Henrik; Schoutens, Wim - In: Review of derivatives research 11 (2008) 1/2, pp. 153-169

Persistent link: https://www.econbiz.de/10003829573

Pricing constant-maturity credit default swaps under jum dynamics

Jönsson, Henrik; Schoutens, Wim - In: The journal of credit risk : published quarterly by … 5 (2009/10) 1, pp. 75-95

Persistent link: https://www.econbiz.de/10003853300

Fast Valuation and Calibration of Credit Default Swaps Under Levy Dynamics

Fang, Fang - 2010

In this paper we address the issue of finding an efficient and flexible numerical approach for calculating survival/default probabilities and pricing Credit Default Swaps under advanced jump dynamics. We have chosen to use the firm's value approach, modeling the firm's value by an...

Persistent link: https://www.econbiz.de/10013141952

Analysis of a two-echelon inventory control system with complete redistribution

Jönsson, Henrik - In: Management science : journal of the Institute for … 33 (1987) 2, pp. 215-227

Persistent link: https://www.econbiz.de/10001025350

Stock allocation from a central warehouse in a two-location push type inventory control system

Jönsson, Henrik - In: Inventory in theory and practice : [proceedings of the …, (pp. 609-627). 1986

Persistent link: https://www.econbiz.de/10001268464

Optimal and heuristic solutions for a simple common component inventory problem

Jönsson, Henrik - In: Engineering costs and production economics : an … 16 (1989) 4, pp. 257-267

Persistent link: https://www.econbiz.de/10001087460