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Stochastic process
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Zhang, Qing
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Stein, Jerome L.
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Lucas, André
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Springer International Publishing
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Umeå Universitet / Institutionen för Nationalekonomi
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Unité Mixte de Recherche Théorie Economique, Modélisation et Applications
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European journal of operational research : EJOR
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International journal of theoretical and applied finance
360
Insurance / Mathematics & economics
336
Journal of econometrics
282
Finance and stochastics
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Operations research
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Mathematics of operations research
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Operations research letters
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Computers & operations research : and their applications to problems of world concern ; an international journal
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International journal of production research
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Risks : open access journal
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Journal of economic dynamics & control
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Applied mathematical finance
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Discussion paper / Tinbergen Institute
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Computational economics
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International journal of production economics
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Economics letters
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The journal of computational finance
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Mathematical finance : an international journal of mathematics, statistics and financial theory
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Finance research letters
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Journal of business & economic statistics : JBES ; a publication of the American Statistical Association
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Management science : journal of the Institute for Operations Research and the Management Sciences
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Journal of mathematical finance
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Econometric reviews
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Energy economics
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Mathematical methods of operations research
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International journal of financial engineering
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Omega : the international journal of management science
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INFORMS journal on computing : JOC
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Annals of finance
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Transportation science : a journal of the Institute for Operations Research and the Management Sciences
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Annals of operations research
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Economic modelling
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Working paper
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Journal of banking & finance
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Journal of economic theory
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ECONIS (ZBW)
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RePEc
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Other ZBW resources
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1
Mixed copula model with stochastic correlation for CDO pricing
Chen, Jianli
;
Liu, Zhen
;
Li, Shenghong
- In:
Economic modelling
40
(
2014
),
pp. 167-174
Persistent link: https://www.econbiz.de/10010425701
Saved in:
2
Modeling of CPDOs : identifying optimal and implied leverage
Dorn, Jochen
- In:
Journal of banking & finance
34
(
2010
)
6
,
pp. 1371-1382
Persistent link: https://www.econbiz.de/10003978413
Saved in:
3
Introducing an analytical solution and an improved one-factor gaussian copula model for the pricing of heterogeneous CDOs
Gao, Xin
;
Wu, Binlin
;
Schäfer, Tobias
- In:
International journal of financial engineering
4
(
2017
)
2/3
,
pp. 1-17
Persistent link: https://www.econbiz.de/10011778286
Saved in:
4
Basket option pricing and implied correlation in a Lévy copula model
Linders, Daniël
;
Schoutens, Wim
-
2014
Persistent link: https://www.econbiz.de/10010422208
Saved in:
5
Spread term structure and default correlation
Gagliardini, Patrick
;
Gouriéroux, Christian
- In:
Annals of economics and statistics
123/124
(
2016
),
pp. 175-223
Persistent link: https://www.econbiz.de/10011592744
Saved in:
6
Financial stochastic modeling and the subprime crisis
Latifa, Aitoutouhen
;
Faris, Hamza
- In:
International journal of economics, finance and …
4
(
2016
)
2
,
pp. 67-77
Persistent link: https://www.econbiz.de/10011657951
Saved in:
7
Delta-hedging correlation risk?
Cousin, Areski
;
Crépey, Stéphane
;
Kan, Yu Hang
- In:
Review of derivatives research
15
(
2012
)
1
,
pp. 25-56
Persistent link: https://www.econbiz.de/10009627434
Saved in:
8
One-dimensional Markov-functional models driven by a non-Gaussian driver
Gogala, Jaka
;
Kennedy, Joanne E.
- In:
The journal of computational finance
23
(
2019
)
3
,
pp. 61-100
Persistent link: https://www.econbiz.de/10012162379
Saved in:
9
A weak MLMC scheme for Lévy-Copula-Driven SDEs with applications to the pricing of credit, equity and interest rate derivatives
Mijatović, Aleksandar
;
Palfray, Romain
- In:
Applied mathematical finance
31
(
2024
)
2
,
pp. 57-107
Persistent link: https://www.econbiz.de/10015415705
Saved in:
10
Mean-reverting stochastic volatility
Fouque, Jean-Pierre
;
Papanicolaou, George
;
Sircar, …
- In:
International journal of theoretical and applied finance
3
(
2000
)
1
,
pp. 101-142
Persistent link: https://www.econbiz.de/10001488358
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