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Nonlinear consistent valuation...
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Option pricing theory
Theorie
61
Theory
61
Credit risk
43
Kreditrisiko
43
Optionspreistheorie
33
Derivat
29
Derivative
29
Volatility
23
Volatilität
23
Kreditderivat
20
Collateral
18
Credit derivative
18
Kreditsicherung
18
Risikomanagement
14
Risk management
13
Stochastic process
13
Stochastischer Prozess
13
Yield curve
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Zinsstruktur
13
Portfolio selection
11
Portfolio-Management
11
Finanzkrise
10
Risiko
10
Risk
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Counterparty risk
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Swap
9
Financial crisis
8
Multivariate Verteilung
8
Multivariate distribution
8
Asset-Backed Securities
7
Asset-backed securities
7
Credit insurance
7
Kreditversicherung
7
collateral
7
credit valuation adjustment
7
Börsenkurs
6
Correlation
6
Insolvency
6
Insolvenz
6
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2
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English
33
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Brigo, Damiano
23
Pallavicini, Andrea
16
Nastasi, Emanuele
5
Mercurio, Fabio
4
Rutkowski, Marek
3
Sartorelli, Giulio
3
Buescu, Cristin
2
Daluiso, Roberto
2
Francischello, Marco
2
Graceffa, Federico
2
Livieri, Giulia
2
Pede, Nicola
2
Bellani, Claudio
1
Bormetti, Giacomo
1
Buescu, C.
1
Callegaro, Giorgia
1
Capponi, Agostino
1
Cousot, Laurent
1
Dall'acqua, Enrico
1
El-Bachir, Naoufel
1
Garcia, Joao
1
Garcia, João
1
Grasselli, Martino
1
Kalinin, Alexander
1
Liu, Qing
1
Longoni, Riccardo
1
Manzano-Herrero, Alberto Pedro
1
Mazzoran, Andrea
1
Moreni, Nicola
1
Morini, Massimo
1
Mouti, Saad
1
Papatheodorou, Vasileios
1
Polo, Stefano
1
Rapisarda, Francesco
1
Rosenbaum, Mathieu
1
Sarais, Gabriele
1
Sloth, David
1
Sridi, Abir
1
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International journal of theoretical and applied finance
6
Mathematical finance : an international journal of mathematics, statistics and financial theory
3
Finance and stochastics
2
Quantitative finance
2
Credit risk : models, derivatives, and management
1
European journal of operational research : EJOR
1
International journal of financial engineering
1
International journal of theoretical and applied finance : IJTAF
1
Operations research letters
1
Options - 45 years since the publication of the Black-Scholes-Merton model : the Gershon Fintech Center Conference
1
Springer Finance
1
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ECONIS (ZBW)
33
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1
Arbitrage-free valuation of bilateral counterparty risk for interest-rate products : impact of volatilities and correlations
Brigo, Damiano
;
Pallavicini, Andrea
;
Papatheodorou, …
- In:
International journal of theoretical and applied finance
14
(
2011
)
6
,
pp. 773-802
Persistent link: https://www.econbiz.de/10009381011
Saved in:
2
Arbitrage-free bilateral counterparty risk valuation under collateralization and application to credit default swaps
Brigo, Damiano
;
Capponi, Agostino
;
Pallavicini, Andrea
- In:
Mathematical finance : an international journal of …
24
(
2014
)
1
,
pp. 125-146
Persistent link: https://www.econbiz.de/10010256178
Saved in:
3
Nonlinear valuation under credit, funding, and margins : existence, uniqueness, invariance, and disentanglement
Brigo, Damiano
;
Francischello, Marco
;
Pallavicini, Andrea
- In:
European journal of operational research : EJOR
274
(
2019
)
2
,
pp. 788-805
Persistent link: https://www.econbiz.de/10011990226
Saved in:
4
On the consistency of jump-diffusion dynamics for FX rates under inversion
Graceffa, Federico
;
Brigo, Damiano
;
Pallavicini, Andrea
- In:
International journal of financial engineering
7
(
2020
)
4
,
pp. 1-17
Persistent link: https://www.econbiz.de/10012603771
Saved in:
5
Probability-free models in option pricing : statistically indistinguishable dynamics and historical vs implied volatility
Brigo, Damiano
- In:
Options - 45 years since the publication of the …
,
(pp. 47-61)
.
2023
Persistent link: https://www.econbiz.de/10014366586
Saved in:
6
Option pricing impact of alternative continuous-time dynamics for discretely-observed stock prices
Brigo, Damiano
;
Mercurio, Fabio
- In:
Finance and stochastics
4
(
2000
)
2
,
pp. 147-159
Persistent link: https://www.econbiz.de/10001486694
Saved in:
7
A deterministic-shift extension of analytically-tractable and time-homogeneous short-rate models
Brigo, Damiano
;
Mercurio, Fabio
- In:
Finance and stochastics
5
(
2001
)
3
,
pp. 369-387
Persistent link: https://www.econbiz.de/10001599290
Saved in:
8
Interest rate models - theory and practice : with smile, inflation and credit ; with 131 tables
Brigo, Damiano
;
Mercurio, Fabio
-
2006
-
2. ed.
Persistent link: https://www.econbiz.de/10002116360
Saved in:
9
Lognormal-mixture dynamics and calibration to market volatility smiles
Brigo, Damiano
;
Mercurio, Fabio
- In:
International journal of theoretical and applied finance
5
(
2002
)
4
,
pp. 427-446
Persistent link: https://www.econbiz.de/10001682228
Saved in:
10
An exact formula for default swaptions' pricing in the SSRJD stochastic intensity model
Brigo, Damiano
;
El-Bachir, Naoufel
- In:
Mathematical finance : an international journal of …
20
(
2010
)
3
,
pp. 365-382
Persistent link: https://www.econbiz.de/10008665084
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