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On the modelling of nested risk-neutral stochastic processes with applications in insurance

Singor, S. N.; Boer, A.; Alberts, J. S. C.; Oosterlee, … - In: Applied mathematical finance 24 (2017) 3/4, pp. 302-336

Persistent link: https://www.econbiz.de/10011815235

Computing credit valuation adjustment for Bermudan options with wrong way risk

Feng, Qian; Oosterlee, Cornelis Willebrordus - In: International journal of theoretical and applied finance 20 (2017) 8, pp. 1-31

Persistent link: https://www.econbiz.de/10011787454

Portfolio Risk and the Quantum Majorization of Correlation Matrices

Fontanari, Andrea - 2020

We propose Quantum Majorization as a way of comparing and ranking correlation matrices, with the aim of assessing portfolio risk in a unified framework. Quantum majorization is a partial order in the space of correlation matrices, which are evaluated through their spectra. We discuss the...

Persistent link: https://www.econbiz.de/10012850508

Portfolio risk and the quantum majorization of correlation matrices

Fontanari, Andrea; Eliazar, Iddo; Cirillo, Pasquale; … - In: IMA journal of management mathematics 32 (2021) 3, pp. 257-282

Persistent link: https://www.econbiz.de/10012503883

Pricing and hedging prepayment risk in a mortgage portfolio

Casamassima, Emanuele; Grzelak, Lech A.; Mulder, Frank A.; … - In: International journal of theoretical and applied … 25 (2022) 4/5, pp. 1-37

Persistent link: https://www.econbiz.de/10013371214

Relevance of wrong-way risk in funding valuation adjustments

Zwaard, Thomas van der; Grzelak, Lech A.; Oosterlee, … - In: Finance research letters 49 (2022), pp. 1-8

Persistent link: https://www.econbiz.de/10013478834