Similar Search Results

Double barrier options : valuation by path counting

Sidenius, Jakob - In: The journal of computational finance 1 (1998) 3, pp. 63-79

Persistent link: https://www.econbiz.de/10001632708

On the term structure of loss distributions : a forward model approach

Sidenius, Jakob - In: International journal of theoretical and applied finance 10 (2007) 4, pp. 749-761

Persistent link: https://www.econbiz.de/10003503392

ON THE TERM STRUCTURE OF LOSS DISTRIBUTIONS: A FORWARD MODEL APPROACH

SIDENIUS, JAKOB - In: International Journal of Theoretical and Applied … 10 (2007) 04, pp. 749-761

We define forward copula models and introduce the concept of "chaining" such models. We discuss the use of these concepts in the calibration to the term structure of tranche quotes.

Persistent link: https://www.econbiz.de/10004971792

A NEW FRAMEWORK FOR DYNAMIC CREDIT PORTFOLIO LOSS MODELLING

SIDENIUS, JAKOB; PITERBARG, VLADIMIR; ANDERSEN, LEIF - In: International Journal of Theoretical and Applied … 11 (2008) 02, pp. 163-197

We present the SPA framework, a novel approach to the modeling of the dynamics of portfolio default losses. In this framework, models are specified by a two-layer process. The first layer models the dynamics of portfolio loss distributions in the absence of information about default times. This...

Persistent link: https://www.econbiz.de/10004977441

Warrant Pricing -- Is Dilution a Delusion?

Sidenius, Jakob - In: Financial analysts' journal : FAJ 52 (1996) 5, pp. 77-80

Persistent link: https://www.econbiz.de/10006324600

Valuation of flexible caps

Bjerregaard Pedersen, Morten - In: The journal of derivatives : the official publication … 5 (1998) 3, pp. 60-67

Persistent link: https://www.econbiz.de/10001242384

VALUATION OF FLEXIBLE CAPS

Bjerregaard, Morten; Sidenius, Pedersen; Sidenius, Jakob - In: The journal of derivatives : the official publication … 5 (1998) 3, pp. 60-67

Persistent link: https://www.econbiz.de/10007359459

Credit derivatives: All your hedges in one basket - The authors present new techniques for single-tranche CDO sensitivity and hedge ratio calculations.

Andersen, Leif; Sidenius, Jakob; Basu, Susanta - In: Risk : managing risk in the world's financial markets 16 (2003) 11, pp. 67-72

Persistent link: https://www.econbiz.de/10007029827

CDO pricing with factor models : survey and comments

Andersen, Leif; Sidenius, Jakob - In: The journal of credit risk : published quarterly by … 1 (2005) 3, pp. [71]-88

Persistent link: https://www.econbiz.de/10009932444

CDO pricing with factor models : survey and comments

Andersen, Leif B. G.; Sidenius, Jakob - In: The journal of credit risk : published quarterly by … 1 (2005) 3, pp. [71]-88

Persistent link: https://www.econbiz.de/10003198839