Hits 1-10 within 20 documents
Correlation Smile Matching for CDO Tranches with α Stable Distributions and Fitted Archimedan Copulas [journal article]
Source: Quantitative Finance, 9 (2009) 4. p.439-449
A Continuous-Time Model for Reinvestment Risk in Bond Markets [journal article]
Source: Quantitative Finance, 9 (2009) 4. p.451-464
Regression methods in pricing American and Bermudan options using consumption processes [journal article]
Source: Quantitative Finance, 9 (2009) 3. p.315-327
Arbitrage-free smoothing of the implied volatility surface [journal article]
Source: Quantitative Finance, 9 (2009) 4. p.417-428
Unexpected volatiltiy and intraday serial correlation [journal article]
Source: Quantitative Finance, 9 (2009) 4. p.465-475
Double knock-out Asian barrier options which widen or contract as they approach maturity [journal article]
Source: Quantitative Finance, 9 (2009) 3. p.329-340
Volatility transmission patterns and terrorist attacks [journal article]
Source: Quantitative Finance, 9 (2009) 5. p.607-619
Credit contagion and credit risk [journal article]
Source: Quantitative Finance, 9 (2009) 4. p.373-382
Pricing and capital requirements for with profit contracts: modelling considerations [journal article]
Source: Quantitative Finance, 9 (2009) 7. p.803-817
An empirical analysis of multivariate copula models [journal article]
Source: Quantitative Finance, 9 (2009) 7. p.839-854