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~subject:"Optionspreistheorie"
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Optionspreistheorie
Credit risk
52
Theorie
50
Theory
50
Kreditrisiko
47
Portfolio selection
36
Portfolio-Management
36
Risikomanagement
24
Kreditderivat
23
Risk management
23
Credit derivative
22
Derivat
21
Derivative
21
Markov chain
16
Markov-Kette
16
Option pricing theory
15
Hedging
14
Stochastic process
11
Stochastischer Prozess
11
Risiko
10
Risikomaß
10
Risk
10
Risk measure
10
intensity-based models
9
Multivariate Verteilung
7
Multivariate distribution
7
Asset-Backed Securities
6
Asset-backed securities
6
CAPM
6
Counterparty risk
6
Credit insurance
6
Kreditgeschäft
6
Kreditversicherung
6
Markov jump processes
6
Estimation theory
5
Matrix-analytic methods
5
Schätztheorie
5
Bank risk
4
Bankrisiko
4
CDS
4
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3
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11
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English
15
Author
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Bielecki, Tomasz R.
7
Crépey, Stéphane
7
Jeanblanc, Monique
4
Rutkowski, Marek
3
Chataigner, Marc
2
Dixon, Matthew F.
2
Herbertsson, Alexander
2
Cialenco, Igor
1
Crépey, S.
1
Iyigunler, Ismail
1
Jin, Hanqing
1
Pliska, Stanley R.
1
Pu, Jiang
1
Rahal, Abdallah
1
Rodriguez, Rodrigo
1
Zargari, B.
1
Zhou, Xun Yu
1
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Mathematical finance : an international journal of mathematics, statistics and financial theory
3
The journal of computational finance
3
International journal of theoretical and applied finance
2
Working papers in economics
2
Indifference pricing : theory and applications
1
Risks : open access journal
1
Springer Finance / Textbooks
1
Springer finance
1
Stochastic methods in finance : lectures given at the C.I.M.E.-E.M.S. Summer School held in Bressanone/Brixen, Italy, July 6 - 12, 2003
1
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ECONIS (ZBW)
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Defaultable options in a Markovian intensity model of credit risk
Bielecki, Tomasz R.
;
Crépey, Stéphane
;
Jeanblanc, Monique
- In:
Mathematical finance : an international journal of …
18
(
2008
)
4
,
pp. 493-518
Persistent link: https://www.econbiz.de/10003769008
Saved in:
2
Modeling and valuation of credit risk
Bielecki, Tomasz R.
;
Jeanblanc, Monique
;
Rutkowski, Marek
- In:
Stochastic methods in finance : lectures given at the …
,
(pp. 27-126)
.
2004
Persistent link: https://www.econbiz.de/10002526431
Saved in:
3
Continuous-time-mean-variance portfolio selection with bankruptcy prohibition
Bielecki, Tomasz R.
;
Jin, Hanqing
;
Pliska, Stanley R.
; …
- In:
Mathematical finance : an international journal of …
15
(
2005
)
2
,
pp. 213-244
Persistent link: https://www.econbiz.de/10002725425
Saved in:
4
Dynamic conic finance : pricing and hedging in market models with transaction costs via dynamic coherent acceptability indices
Bielecki, Tomasz R.
;
Cialenco, Igor
;
Iyigunler, Ismail
; …
- In:
International journal of theoretical and applied finance
16
(
2013
)
1
,
pp. 1-36
Persistent link: https://www.econbiz.de/10009725092
Saved in:
5
Valuation and hedging of CDS counterparty exposure in a Markov copula model
Bielecki, Tomasz R.
;
Crépey, S.
;
Jeanblanc, Monique
; …
- In:
International journal of theoretical and applied finance
15
(
2012
)
1
,
pp. 1-39
Persistent link: https://www.econbiz.de/10009562148
Saved in:
6
Indifference pricing of defaultable claims
Bielecki, Tomasz R.
;
Jeanblanc, Monique
- In:
Indifference pricing : theory and applications
,
(pp. 211-240)
.
2009
Persistent link: https://www.econbiz.de/10003807588
Saved in:
7
Credit risk : modeling, valuation and hedging
Bielecki, Tomasz R.
;
Rutkowski, Marek
-
2002
Persistent link: https://www.econbiz.de/10001621020
Saved in:
8
CDS index options in Markov chain models
Herbertsson, Alexander
-
2019
Persistent link: https://www.econbiz.de/10011965838
Saved in:
9
Saddlepoint approximations for credit portfolio distributions with applications in equity risk management
Herbertsson, Alexander
-
2023
Persistent link: https://www.econbiz.de/10014518798
Saved in:
10
Financial modeling : a backward stochastic differential equations perspective
Crépey, Stéphane
-
2013
Persistent link: https://www.econbiz.de/10009770436
Saved in:
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