Suchergebnisse

Pricing Index Options in a Multivariate Black & Scholes Model

Pricing Index Options in a Multivariate Black & Scholes Model

Looking beyond Implied Correlation: Its adequacy, Nonlinear Dependence and Market Risk

Basket Option Pricing and Implied Correlation in a One-Factor Lévy Model

In: Proceedings of the conference 'Challenges in Derivatives Markets', eds: Kathrin Glau, Zorana Grbac, Matthias Scherer, Rudi Zagst, 2015

The Multivariate Variance Gamma Model: Basket Option Pricing and Calibration

A Framework for Robust Measurement of Implied Correlation

A Framework for Robust Measurement of Implied Correlation

In: Daniël Linders, Wim Schoutens, 'A framework for robust measurement of implied correlation', Journal of Computational and Applied Mathematics, 271, 39-52.

Non-Linear Dependence and Stock Return Expectations

Remarks on quantiles and distortion risk measures

In: European actuarial journal, Band 2, Heft 2, S. 319-328

ISSN: 2190-9741

Innovations in insurance, risk- and asset management: conference at the Technical University of Munich, 5 - 7 April 2017