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Capturing the volatility smile of options on high-tech stocks—A combined GARCH-neural network approach

Meissner, Gunter; Kawano, Noriko - In: Journal of Economics and Finance 25 (2001) 3, pp. 276-292

A slight modification of the standard GARCH equation results in a good modeling of historical volatility. Using this generated GARCH volatility together with the inputs: spot price divided by strike, time to maturity, and interest rate, a generated Neural Network results in significantly better...

Persistent link: https://www.econbiz.de/10010999000

Credit derivatives : applications, pricing and risk management

Meissner, Gunter - 2005

Persistent link: https://www.econbiz.de/10004820807

Caps, Floors und Collars

Meissner, Gunter - In: Modernes Bondmanagement, (pp. 251-266). 2001

Persistent link: https://www.econbiz.de/10001600655

Arbitrage mit Zinsderivaten

Meissner, Gunter - In: Modernes Bondmanagement, (pp. 281-300). 2001

Persistent link: https://www.econbiz.de/10001600657

Credit derivatives : application, pricing, and risk management

Meissner, Gunter - 2005 - 1. publ.

Persistent link: https://www.econbiz.de/10002140768

The application of CDOs

Meissner, Gunter - In: The definitive guide to CDOs : market, application, …, (pp. 21-32). 2008

Persistent link: https://www.econbiz.de/10003918597

The market standard model for valuing CDOs, the one-factor Gaussian Copola Model : benefits and limitations

Meissner, Gunter - In: The definitive guide to CDOs : market, application, …, (pp. 207-222). 2008

Persistent link: https://www.econbiz.de/10003918714

Correlation trading strategies : opportunities and limitations

Meissner, Gunter - In: The journal of trading 11 (2016) 4, pp. 14-32

Persistent link: https://www.econbiz.de/10011697644

Correlation risk modeling and management : an applied guide including the Basel III correlation framework - with interactive correlation models in Excel/VBA

Meissner, Gunter - 2014 - Online-Ausg.

A thorough guide to correlation risk and its growing importance in global financial markets Ideal for anyone studying for CFA, PRMIA, CAIA, or other certifications, Correlation Risk Modeling and Management is the first rigorous guide to the topic of correlation risk. A relatively overlooked type...

Persistent link: https://www.econbiz.de/10014472927

Portfolio Risk ‐ Beyond Volatility

Meissner, Gunter; Bhaduri, Ranjan; Linsky, Lenny; Yuan, … - In: Wilmott 2021 (2021) 114, pp. 16-27

Persistent link: https://www.econbiz.de/10012633575