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Quantization Goes Polynomial
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Brigo, Damiano
4
Pallavicini, Andrea
4
Torresetti, Roberto
3
Callegaro, Giorgia
1
Sagna, Abass
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Journal of risk management in financial institutions
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Risk : managing risk in the world's financial markets
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The journal of computational finance
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OLC EcoSci
ECONIS (ZBW)
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An application to credit risk of a hybrid Monte Carlo-optimal quantization method
Callegaro, Giorgia
;
Sagna, Abass
- In:
The journal of computational finance
16
(
2013
)
4
,
pp. 123-122
Persistent link: https://www.econbiz.de/10010152594
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2
CUTTING EDGE: Credit derivatives - Calibration of CDO tranches with the dynamical GPL model - Consistent calibration of a credit index and its tranches across maturities with a single arbitrage-free model is a difficult problem. Here, the authors show that a simple loss dynamics based on the generalised Poisson process achieves good results. This model allows for general isations, achieving ...
Brigo, Damiano
;
Pallavicini, Andrea
;
Torresetti, Roberto
- In:
Risk : managing risk in the world's financial markets
20
(
2007
)
5
,
pp. 70-75
Persistent link: https://www.econbiz.de/10007738041
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3
CUTTING EDGE - Hybrid products - Counterparty risk and CCDSs under correlation - Counterparty risk under correlation is relatively unexplored in the financial literature. Here, the authors extend previous analysis beyond simple swap portfolios. A stochastic intensity jump diffusion model is adopted for the default event, and correlation between interest rates and credit shows a relevant and ...
Brigo, Damiano
;
Pallavicini, Andrea
- In:
Risk : managing risk in the world's financial markets
21
(
2008
)
2
,
pp. 84-88
Persistent link: https://www.econbiz.de/10007917925
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4
Risk-neutral versus objective loss distribution and CDO tranche valuation
Torresetti, Roberto
;
Brigo, Damiano
;
Pallavicini, Andrea
- In:
Journal of risk management in financial institutions
2
(
2008/09
)
2
,
pp. 175-192
Persistent link: https://www.econbiz.de/10009883627
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5
Credit models and the crisis : an overview
Brigo, Damiano
;
Pallavicini, Andrea
;
Torresetti, Roberto
- In:
Journal of risk management in financial institutions
4
(
2010/11
)
3
,
pp. 243-253
Persistent link: https://www.econbiz.de/10009883700
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