Narrow search
Showing 1 - 4 of 4
Cover Image
Credit default swap calibration and derivatives pricing with the SSRD stochastic intensity model
Brigo, Damiano; Alfonsi, Aurélien - In: Finance and stochastics 9 (2005) 1, pp. 29-42
Persistent link: https://www.econbiz.de/10002497060
Cover Image
Risk valuation of quanto derivatives on temperature and electricity
Alfonsi, Aurélien; Vadillo, Nerea - In: Applied mathematical finance 30 (2023) 6, pp. 275-312
Persistent link: https://www.econbiz.de/10015194149
Cover Image
A stochastic volatility model for the valuation of temperature derivatives
Alfonsi, Aurélien; Vadillo, Nerea - In: IMA journal of management mathematics 35 (2024) 4, pp. 737-785
Persistent link: https://www.econbiz.de/10015333096
Cover Image
Stochastic local intensity loss models with interacting particle systems
Alfonsi, Aurélien; Labart, Celine; Lelong, Jérõme - In: Mathematical finance : an international journal of … 26 (2016) 2, pp. 366-394
Persistent link: https://www.econbiz.de/10011577160