Narrow search
Showing 1 - 8 of 8
Cover Image
Term structure modeling for pension funds : what to do in practice?
Vlaar, Peter J. G. - 2006
Persistent link: https://www.econbiz.de/10003401861
Cover Image
Regime switching affine processes with applications to finance
Beek, Misha van; Mandjes, Michel; Spreij, Peter; … - In: Finance and stochastics 24 (2020) 2, pp. 309-333
Persistent link: https://www.econbiz.de/10012253354
Cover Image
From bid-ask credit default swap quotes to risk-neutral default probabilities using distorted expectations
Michielon, Matteo; Khedher, Asma; Spreij, Peter - In: International journal of theoretical and applied finance 24 (2021) 3, pp. 1-22
Persistent link: https://www.econbiz.de/10012652634
Cover Image
Liquidity-free implied volatilities : an approach using conic finance
Michielon, Matteo; Khedher, Asma; Spreij, Peter - In: International journal of financial engineering 8 (2021) 4, pp. 1-27
Persistent link: https://www.econbiz.de/10012815112
Cover Image
Polynomial approximation of discounted moments
Zhao, Chenyu; Beek, Misha van; Spreij, Peter; Ba, Makhtar - In: Finance and stochastics 29 (2025) 1, pp. 63-95
Persistent link: https://www.econbiz.de/10015394774
Cover Image
A dimension reduction approach for loss valuation in credit risk modeling
He, Jian; Khedher, Asma; Spreij, Peter - In: International journal of financial engineering 11 (2024) 1, pp. 1-48
Persistent link: https://www.econbiz.de/10014521382
Cover Image
Methods to determine capital requirements for options
Vlaar, Peter J. G. - In: Quarterly review / Banca Nazionale del Lavoro, Roma 49 (1996) 198, pp. 351-373
Persistent link: https://www.econbiz.de/10001209977
Cover Image
Pricing Derivatives Analytically in a Heteroscedastic VAR Model with Jumps
Vlaar, Peter - 2011
We derive closed-form solutions for option and swaption prices in an economic environment with time-varying second moments and stochastic jumps. Stochastic jumps are an important feature of risk models as the 2008 credit crisis has shown that extreme shocks may happen unexpectedly if the market...
Persistent link: https://www.econbiz.de/10013128777