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A filtered no arbitrage model for term structures from noisy data

Gombani, Andrea; Jaschke, Stefan R.; Runggaldier, … - Weierstraß-Institut für Angewandte Analysis und Stochastik - 2002

Persistent link: https://www.econbiz.de/10001802389

ARBITRAGE‐FREE MULTIFACTOR TERM STRUCTURE MODELS: A THEORY BASED ON STOCHASTIC CONTROL

Gombani, Andrea; Runggaldier, Wolfgang J. - In: Mathematical finance : an international journal of … 23 (2013) 4, pp. 659-686

Persistent link: https://www.econbiz.de/10010161820

Arbitrage-free multifactor term structure models : a theory based on stochastic control

Gombani, Andrea; Runggaldier, Wolfgang J. - In: Mathematical finance : an international journal of … 23 (2013) 4, pp. 659-686

Persistent link: https://www.econbiz.de/10010187681

A filtering approach to pricing in multifactor term structure models

Gombani, Andrea; Runggaldier, Wolfgang J. - In: International journal of theoretical and applied finance 4 (2001) 2, pp. 303-320

Persistent link: https://www.econbiz.de/10001578740

Thank you, Tomas!

Gombani, Andrea - In: Finance and stochastics 27 (2023) 4, pp. 1047-1048

Persistent link: https://www.econbiz.de/10014426413

A note on stochastic volatility, GARCH models, and hyperbolic distributions

Jaschke, Stefan R. - 1998

Persistent link: https://www.econbiz.de/10000992329

Arbitrage bounds for the term structure of interest rates

Jaschke, Stefan R. - In: Finance and stochastics 2 (1998) 1, pp. 29-40

Persistent link: https://www.econbiz.de/10001230161

Quantile-VaR is the wrong measure to quantify markets risk for regulatory purposes

Jaschke, Stefan R. - 2001

Persistent link: https://www.econbiz.de/10001606217

The Cornish-Fisher expansion in the context of delta-gamma-normal approximations

Jaschke, Stefan R. - 2001

Persistent link: https://www.econbiz.de/10001606221

Quantile-VaR is the wrong measure to quantify market risk for regulatory purposes

Jaschke, Stefan R. - 2001

Starting from the objective of banking supervision - to minimize the overall costs of banking to the general public - we show that the current standard of quantifying market risk is flawed. It is perfectly aligned with the interests of banks' shareholders and management, but not with the...

Persistent link: https://www.econbiz.de/10009614286