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CreditGrades framework within stochastic covariance models
Escobar, Marcos; Arian, Hamidreza; Seco, Luis - In: Journal of mathematical finance 2 (2012) 4, pp. 303-314
Persistent link: https://www.econbiz.de/10009725338
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Principal component value at risk
Brummelhuis, Raymond; Cordóba, Antonio; Quintanilla, Maite - In: International journal of theoretical and applied finance 3 (2000) 3, pp. 541-545
Persistent link: https://www.econbiz.de/10001524229
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Pricing of spread options on stochastically correlated underlyings
Escobar, Marcos; Götz, Barbara; Seco, Luis; Zagst, Rudi - In: The journal of computational finance 12 (2009) 3, pp. 31-61
Persistent link: https://www.econbiz.de/10009534616