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A dynamic programming approach for pricing weather derivatives under issuer default risk

Härdle, Wolfgang; Osipenko, Maria - In: International Journal of Financial Studies : open … 5 (2017) 4, pp. 1-18

Weather derivatives are contingent claims with payoff based on a pre-specified weather index. Firms exposed to weather risk can transfer it to financial markets via weather derivatives. We develop a utility-based model for pricing baskets of weather derivatives under default risk on the issuer...

Persistent link: https://www.econbiz.de/10011760235

Selecting credit portfolios for collateralized loan obligation transactions : a heuristic algorithm

Westerfeld, Simone; Weber, Frithjof - In: The journal of credit risk : published quarterly by … 5 (2009/10) 4, pp. 65-82

Persistent link: https://www.econbiz.de/10003927494

Calibrating probability distributions with convex-concave-convex functions : application to CDO pricing

Veremyev, Alexander; Tsyurmasto, Peter; Uryasev, Stan; … - In: Computational Management Science : CMS 11 (2014) 4, pp. 341-364

Persistent link: https://www.econbiz.de/10010437154

Procurement strategy with credit risk

Wang, Hsiao-fan; Su, Ray - In: International journal of operations and quantitative … 19 (2013) 3, pp. 179-200

Persistent link: https://www.econbiz.de/10010253593

Dynamic portfolio optimization with a defaultable security and regime-switching

Capponi, Agostino; Figueroa-López, José E. - In: Mathematical finance : an international journal of … 24 (2014) 2, pp. 207-249

Persistent link: https://www.econbiz.de/10010357378

Robust optimization of credit portfolios

Bo, Lijun; Capponi, Agostino - In: Mathematics of operations research 42 (2017) 1, pp. 30-56

Persistent link: https://www.econbiz.de/10011654555

A portfolio optimisation model for credit risky bonds with Markov model credit rating dynamics

Singh, Arti; Dharmaraja, Selvamuthu - In: International journal of financial markets and derivatives 6 (2017) 2, pp. 102-119

Persistent link: https://www.econbiz.de/10011862377

Profit-oriented distributionally robust chance constrained flowshop scheduling considering credit risk

Liu, Ming; Liu, Xin; Chu, Feng; Zheng, Feifeng; Chu, … - In: International journal of production research 58 (2020) 8, pp. 2527-2549

Persistent link: https://www.econbiz.de/10012265250

Pricing and hedging derivative securities in incomplete markets : an [epsilon]-arbitrage approach

Bertsimas, Dimitris; Kogan, Leonid; Lo, Andrew W. - 1997

Persistent link: https://www.econbiz.de/10000646551

Asset liability management and duration matching using financial futures : a mathematical programming approach

Dandapani, Krishnan - In: The review of research in banking and finance : a … 4 (1988) 1, pp. 33-48

Persistent link: https://www.econbiz.de/10001100661