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Single name credit default swaptions meet single sided jump models
Jönsson, Henrik; Schoutens, Wim - In: Review of derivatives research 11 (2008) 1, pp. 153
Persistent link: https://www.econbiz.de/10008173305
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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/10009932461
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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/10010077861
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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) 2, pp. 57-87
Persistent link: https://www.econbiz.de/10008787349
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Application of the scenario aggregation approach to a two-stage, stochastic, common component, inventory problem with a budget constraint
Jönsson, H.; Jörnsten, K.; Silver, E.A. - In: European journal of operational research : EJOR 68 (1993) 2, pp. 196-211
Persistent link: https://www.econbiz.de/10006689407
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Some insights regarding selecting sets of scenarios in combinatorial stochastic problems
Jönsson, H.; Silver, E.A. - In: International journal of production economics 45 (1996) 1-3, pp. 463-472
Persistent link: https://www.econbiz.de/10006325110
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Short-term risk management using stochastic Taylor expansions under Lévy models
Schoutens, Wim; Studer, Michael - In: Insurance / Mathematics & economics 33 (2003) 1, pp. 173-188
Persistent link: https://www.econbiz.de/10006886812
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A note on some new perpetuities
Decamps, Marc; Schepper, Ann De; Goovaerts, Marc; … - In: Scandinavian actuarial journal : Actuarial Society of … 105 (2005) 4, pp. 261-270
Persistent link: https://www.econbiz.de/10005921690
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Static Hedging of Asian Options under Lévy Models
Albrecher, Hansjörg; Dhaene, Jan; Goovaerts, Marc; … - In: The journal of derivatives : the official publication … 12 (2005) 3, pp. 63
Persistent link: https://www.econbiz.de/10005923133
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Completion of a Lévy market by power-jump assets
Corcuera, José Manuel; Nualart, David; Schoutens, Wim - In: Finance and stochastics 9 (2005) 1, pp. 109-128
Persistent link: https://www.econbiz.de/10008222973