Results for Discipline:
Economic Statistics, Econometrics, Business Informatics
Hits 1-10 within 19 documents
A Continuous-Time Model for Reinvestment Risk in Bond Markets [journal article]
Source: Quantitative Finance, 9 (2009) 4. p.451-464
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
Pricing and capital requirements for with profit contracts: modelling considerations [journal article]
Source: Quantitative Finance, 9 (2009) 7. p.803-817
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
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
Capital allocation for credit portfolios with kernel estimators [journal article]
Source: Quantitative Finance, 9 (2009) 5. p.581-595
Investment strategies in the long run with proportional transaction costs and HARA utility function [journal article]
Source: Quantitative Finance, 9 (2009) 2. p.231-242
An empirical analysis of multivariate copula models [journal article]
Source: Quantitative Finance, 9 (2009) 7. p.839-854