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The size effect and default risk : evidence from the Vietnamese stock market

Le Quy Duong; Bertrand, Philippe - In: Review of financial economics : RFE 40 (2022) 4, pp. 377-388

Persistent link: https://www.econbiz.de/10013461475

A Hybrid-Form Model for the Prepayment-Risk-Neutral Valuation of Mortgage-Backed Securities

Zagst, Rudi - 2010

In this paper we present a prepayment-risk-neutral valuation model for fixed-rate Mortgage-Backed Securities. Our model is based on intensity models as used in credit-risk modeling and extends existing models for individual mortgage contracts in a proportional hazard framework. The general...

Persistent link: https://www.econbiz.de/10013150041

Comparison and robustification of Bayes and Black-Litterman models

Schöttle, Katrin; Werner, Ralf; Zagst, Rudi - In: Mathematical methods of operations research 71 (2010) 3, pp. 453-475

Persistent link: https://www.econbiz.de/10003990389

The risk appetite of private equity sponsors

Braun, Reiner; Engel, Nico; Hieber, Peter; Zagst, Rudi - In: Journal of empirical finance 18 (2011) 5, pp. 815-832

Persistent link: https://www.econbiz.de/10009492043

Valuation of mortgage-backed securities and mortgage dervatives : a closed-form approximation

Kolbe, Andreas; Zagst, Rudi - In: Applied mathematical finance 16 (2009) 5/6, pp. 401-427

Persistent link: https://www.econbiz.de/10003916625

Stochastic correlation and volatility mean-reversion : empirical motivation and derivatives pricing via perturbation theory

Escobar, Marcos; Götz, Barbara; Neykova, Daniela; … - In: Applied mathematical finance 21 (2014) 5/6, pp. 555-594

Persistent link: https://www.econbiz.de/10010500871

Empirical evaluation of hybrid defaultable bond pricing models

Antes, S.; Ilg, M.; Schmid, Beat; Zagst, Rudi - In: Applied mathematical finance 15 (2008) 3/4, pp. 219-249

Persistent link: https://www.econbiz.de/10003751234

Pricing two-asset barrier options under stochastic correlation via perturbation

Escobar, Marcos; Götz, Barbara; Neykova, Daniela; … - In: International journal of theoretical and applied finance 18 (2015) 3, pp. 1-44

Persistent link: https://www.econbiz.de/10011403748

A general structural approach for credit modeling under stochastic volatility

Escobar, Marcos; Friedrich, Tim; Seco, Luis; Zagst, Rudi - In: Journal / The Capco Institute : journal of financial … 32 (2011), pp. 123-132

Persistent link: https://www.econbiz.de/10009629244