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Markov chain
Option pricing theory
7
Optionspreistheorie
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Stochastic process
5
Stochastischer Prozess
5
Credit risk
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Derivat
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Derivative
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Kreditrisiko
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Markov-Kette
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Risikomanagement
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Anleihe
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Bond
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Credit value adjustment
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EU countries
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EU-Staaten
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Forward Starting options
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Fourier transform methods
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Interest rate
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Option trading
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Optionsgeschäft
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Portfolio-Management
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Regime switching jump-diffusion models
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Value at Risk
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Volatility
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Volatilität
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Yield curve
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Zins
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option pricing
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stochastic volatility models
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Ramponi, Alessandro
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Antonelli, Fabio
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Scarlatti, Sergio
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Decisions in economics and finance : DEF ; a journal of applied mathematics
1
International journal of theoretical and applied finance
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Journal of mathematical finance
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ECONIS (ZBW)
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VaR-optimal risk management in regime-switching jump-diffusion models
Ramponi, Alessandro
- In:
Journal of mathematical finance
3
(
2013
)
1
,
pp. 103-109
Persistent link: https://www.econbiz.de/10010240819
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Fourier transform methods for regime-switching jump-diffusions and the pricing of forward starting options
Ramponi, Alessandro
- In:
International journal of theoretical and applied finance
15
(
2012
)
5
,
pp. 1-26
Persistent link: https://www.econbiz.de/10009672605
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3
Option-based risk management of a bond portfolio under regime switching interest rates
Antonelli, Fabio
;
Ramponi, Alessandro
;
Scarlatti, Sergio
- In:
Decisions in economics and finance : DEF ; a journal of …
36
(
2013
)
1
,
pp. 47-70
Persistent link: https://www.econbiz.de/10009729065
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