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The CLV Framework - A Fresh Lo...
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Credit risk
Option pricing theory
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International journal of theoretical and applied finance : IJTAF
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Quantitative finance
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Sensitivities and hedging of the collateral choice option
Deelstra, Griselda
;
Grzelak, Lech A.
;
Wolf, Felix Lukas
- In:
International journal of theoretical and applied …
25
(
2022
)
6
,
pp. 1-35
Persistent link: https://www.econbiz.de/10014235062
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2
Cheapest-to-deliver collateral : a common factor approach
Wolf, Felix Lukas
;
Grzelak, Lech A.
;
Deelstra, Griselda
- In:
Quantitative finance
22
(
2022
)
4
,
pp. 707-723
Persistent link: https://www.econbiz.de/10013367854
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3
Pricing and hedging prepayment risk in a mortgage portfolio
Casamassima, Emanuele
;
Grzelak, Lech A.
;
Mulder, Frank A.
; …
- In:
International journal of theoretical and applied …
25
(
2022
)
4/5
,
pp. 1-37
Persistent link: https://www.econbiz.de/10013371214
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