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Default probability estimation via pair copula constructions
Dalla Valle, Luciana; De Giuli, Maria Elena; Tarantola, … - In: European journal of operational research : EJOR 249 (2016) 1, pp. 298-311
Persistent link: https://www.econbiz.de/10011435851
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COMFORT: a common market factor non-Gaussian returns model
Paolella, Marc S.; Polak, Pawel - In: Journal of econometrics 187 (2015) 2, pp. 593-605
Persistent link: https://www.econbiz.de/10011499783
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Evolution of multivariate copulas in continuous and discrete processes
Yoshizawa, Yasukazu; Ishimura, Naoyuki - In: Intelligent systems in accounting finance and … 25 (2018) 1, pp. 44-59
Persistent link: https://www.econbiz.de/10011890511
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Multivariate moments expansion density : application of the dynamic equicorrelation model
Ñíguez, Trino-Manuel; Perote, Javier - In: Journal of banking & finance 72 (2016), pp. 216-232
Persistent link: https://www.econbiz.de/10011637138
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Analytical valuation of autocallable notes
Guillaume, Tristan - In: International journal of financial engineering 2 (2015) 2, pp. 1-23
Persistent link: https://www.econbiz.de/10011333447
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A Bayesian multivariate risk-neutral method for pricing reverse mortgages
Kogure, Atsuyuki; Li, Jackie; Kamiya, Shinichi - In: North American actuarial journal 18 (2014) 1, pp. 242-257
Persistent link: https://www.econbiz.de/10011339009
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A recursive pricing method for autocallables under multivariate subordination
Tong, Kevin Z. - In: Quantitative finance and economics 3 (2019) 3, pp. 440-455
Persistent link: https://www.econbiz.de/10012176549
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Towards a Δ-Gamma Sato multivariate model
Boen, Lynn; Guillaume, Florence - In: Review of derivatives research 23 (2020) 1, pp. 1-39
Persistent link: https://www.econbiz.de/10012229781
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Estimation of multivariate asset models with jumps
Ballotta, Laura; Fusai, Gianluca; Loregian, Angela; … - In: Journal of financial and quantitative analysis : JFQA 54 (2019) 5, pp. 2053-2083
Persistent link: https://www.econbiz.de/10012140059
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Risk management of financial crises : an optimal investment strategy with multivariate jump-diffusion models
Wang, Chou-Wen; Huang, Hong-Chih - In: Astin bulletin : the journal of the International … 47 (2017) 2, pp. 501-525
Persistent link: https://www.econbiz.de/10011729607