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Pricing corporate bonds in an arbitraty jump-diffusion model based on an improved Brownian-bridge algorithm
Ruf, Johannes; Scherer, Matthias - In: The journal of computational finance 14 (2010/11) 3, pp. 127-145
Persistent link: https://www.econbiz.de/10008989928
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Efficiently pricing double barrier derivatives in stochastic volatility models
Escobar, Marcos; Hieber, Peter; Scherer, Matthias - In: Review of derivatives research 17 (2014) 2, pp. 191-216
Persistent link: https://www.econbiz.de/10010529630
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Parametric model risk and power plant valuation
Bannör, Karl; Kiesel, Rüdiger; Nazarova, Anna; … - In: Energy economics 59 (2016), pp. 423-434
Persistent link: https://www.econbiz.de/10011699734
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A note on the valuation of CDS options and extension risk in a structural model with jumps
Hüttner, Amelie; Scherer, Matthias - In: International journal of financial engineering 3 (2016) 2, pp. 1-16
Persistent link: https://www.econbiz.de/10011577113
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Selected topics in credit risk: Realistic modeling of correlations and new pricing approaches for credit products
Hüttner, Amelie Angelika - 2019
Persistent link: https://www.econbiz.de/10012108528