Corso Borsalino 50
Department of Economics and Quantitative Methods
15100 Alessandria
Italy
University of Eastern Piedmont
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Credit Value Adjustment, Debt Value Adjustment, Netting Collateral, Default Risk, Probability of Default
Asian options, discrete monitoring, Laplace transform, Fourier transform, Commodity
Value at Risk, Non-normal returns
Copula functions, multivariate risks, joint distributions
Asian-style options, Price models with jumps, Transform methods, Com- modity markets, Energy markets
marked Poisson processes, subordinated Lévy processes, multivariate Poisson random measure, multivariate subordinators, multivariate asset modelling, multivariate variance gamma process
Lévy processes, multivariate subordinators, dependence, correlation, multivariate asset modelling, multivariate time-changed processes, factor-based time changes