Narrow search
Showing 1 - 6 of 6
Cover Image
Credit models and the crisis : default cluster dynamics and the generalized Poisson loss model
Brigo, Damiano; Pallavicini, Andrew; Torresetti, Roberto - In: The journal of credit risk : published quarterly by … 6 (2010/11) 4, pp. 39-81
Persistent link: https://www.econbiz.de/10008807737
Cover Image
Nonlinear valuation under credit, funding, and margins : existence, uniqueness, invariance, and disentanglement
Brigo, Damiano; Francischello, Marco; Pallavicini, Andrea - In: European journal of operational research : EJOR 274 (2019) 2, pp. 788-805
Persistent link: https://www.econbiz.de/10011990226
Cover Image
Pricing commodity index options
Manzano-Herrero, Alberto Pedro; Nastasi, Emanuele; … - In: Quantitative finance 23 (2023) 2, pp. 297-308
Persistent link: https://www.econbiz.de/10014232638
Cover Image
Smile modeling in commodity markets
Nastasi, Emanuele; Pallavicini, Andrea; Sartorelli, Giulio - In: International journal of theoretical and applied finance 23 (2020) 3, pp. 1-28
Persistent link: https://www.econbiz.de/10012271006
Cover Image
On the consistency of jump-diffusion dynamics for FX rates under inversion
Graceffa, Federico; Brigo, Damiano; Pallavicini, Andrea - In: International journal of financial engineering 7 (2020) 4, pp. 1-17
Persistent link: https://www.econbiz.de/10012603771
Cover Image
Rough-heston local-volatility model
Dall'acqua, Enrico; Longoni, Riccardo; Pallavicini, Andrea - In: International journal of theoretical and applied … 26 (2023) 6/7, pp. 1-18
Persistent link: https://www.econbiz.de/10014500191