| . |
Schoutens, Wim's
Scholarly Papers
Click on the title of any column to sort the table by that
column. |
|
|
| |
|
|
Aggregate Statistics |
|
Total
Downloads
6,449 |
Total
Citations
76 |
|
|
|
|
|
1.
|
|
|
De Spiegeleer, Jan
Jabre Capital Partners Schoutens, Wim
KU Leuven - Department of Mathematics
|
| Posted: |
|
30 Mar 11
|
|
Last Revised:
|
|
24 Jun 11
|
|
782
(13,590)
|
5
|
|
| |
|
| |
CoCos, Contingent, Capital, Derivatives
|
|
|
2.
|
|
|
Carr, Peter
New York University (NYU) - Courant Institute of Mathematical Sciences Schoutens, Wim
KU Leuven - Department of Mathematics
|
|
487
(26,369)
|
4
|
|
| |
|
| |
hHeston, hedging, variance swaps, CDS, jump to default
|
|
|
3.
|
|
|
Maes, Stan
European Commission - DG Competition Schoutens, Wim
KU Leuven - Department of Mathematics
|
| Posted: |
|
06 Aug 10
|
|
Last Revised:
|
|
28 Aug 10
|
|
416
(32,405)
|
6
|
|
| |
|
| |
Contingent Capital, Moral Hazard, Financial Regulation
|
|
|
4.
|
|
The Herd Behavior Index: A New Measure for the Implied Degree of Co-Movement in Stock Markets
|
Show Abstracts |
Hide Abstracts |
Versions (2)
|
hide multiple versions |
Export Bibliographic Info |
|
Dhaene, Jan
Katholieke Universiteit Leuven - Department of Applied Economics Linders, Daniël
KU Leuven - Department of Applied Economics Schoutens, Wim
KU Leuven - Department of Mathematics Vyncke, David
Ghent University - Department of Applied Mathematics and Computer Science
|
|
Posted:
|
|
12 Sep 11
|
|
Last Revised:
|
|
22 Feb 12
|
|
392
(34,890)
|
1
|
|
|
|
|
Dhaene, Jan
Katholieke Universiteit Leuven - Department of Applied Economics Linders, Daniël
KU Leuven - Department of Applied Economics Schoutens, Wim
KU Leuven - Department of Mathematics Vyncke, David
Ghent University - Department of Applied Mathematics and Computer Science
|
|
79
|
1
|
|
| |
|
| |
Comonotonicity, systemic risk, correlation, VIX volatility index
|
|
|
|
|
|
|
Dhaene, Jan
Katholieke Universiteit Leuven - Department of Applied Economics Linders, Daniël
KU Leuven - Department of Applied Economics Schoutens, Wim
KU Leuven - Department of Mathematics Vyncke, David
Ghent University - Department of Applied Mathematics and Computer Science
|
| Posted: |
|
12 Sep 11
|
|
Last Revised:
|
|
22 Feb 12
|
|
313
|
1
|
|
| |
|
| |
Comonotonicity, herd behavior, systemic risk, correlation, VIX volatility index
|
|
|
|
|
|
5.
|
|
|
Luciano, Elisa
University of Turin - Department of Statistics and Applied Mathematics Schoutens, Wim
KU Leuven - Department of Mathematics
|
|
287
(50,703)
|
13
|
|
| |
|
| |
|
|
|
6.
|
|
|
Beirlant, Jan
Catholic University of Leuven (KUL) Schoutens, Wim
KU Leuven - Department of Mathematics Segers, Johan
Catholic University of Louvain (UCL)
|
|
270
(54,321)
|
1
|
|
| |
|
| |
exceedances, extreme value theory, heavy tails, maxima
|
|
|
7.
|
|
|
Madan, Dilip B.
University of Maryland - Robert H. Smith School of Business Schoutens, Wim
KU Leuven - Department of Mathematics
|
| Posted: |
|
08 Jul 10
|
|
Last Revised:
|
|
23 Nov 10
|
|
268
(54,780)
|
7
|
|
| |
|
| |
Contingent capital, conic finance, acceptability, distorted expectations, capital requirements
|
|
|
8.
|
|
|
Schoutens, Wim
KU Leuven - Department of Mathematics Madan, Dilip B.
University of Maryland - Robert H. Smith School of Business
|
| Posted: |
|
04 Feb 10
|
|
Last Revised:
|
|
13 May 10
|
|
261
(56,442)
|
7
|
|
| |
|
| |
Optimal Debt, Bid Ask Price, Capital Requirements, Pricing to Acceptability
|
|
|
9.
|
|
FIX - The Fear Index: Measuring Market Fear
|
Show Abstracts |
Hide Abstracts |
Versions (2)
|
hide multiple versions |
Export Bibliographic Info |
|
Dhaene, Jan
Katholieke Universiteit Leuven - Department of Applied Economics Dony, Julia
KU Leuven - Faculty of Business and Economics (FBE) Forys, Monika B.
KU Leuven - Department of Mathematics Linders, Daniël
KU Leuven - Department of Applied Economics Schoutens, Wim
KU Leuven - Department of Mathematics
|
|
Posted:
|
|
18 Jul 11
|
|
Last Revised:
|
|
01 Dec 11
|
|
254
(58,405)
|
3
|
|
|
|
|
Dhaene, Jan
Katholieke Universiteit Leuven - Department of Applied Economics Dony, Julia
KU Leuven - Faculty of Business and Economics (FBE) Forys, Monika B.
KU Leuven - Department of Mathematics Linders, Daniël
KU Leuven - Department of Applied Economics Schoutens, Wim
KU Leuven - Department of Mathematics
|
|
48
|
3
|
|
| |
|
| |
|
|
|
|
|
|
|
Dhaene, Jan
Katholieke Universiteit Leuven - Department of Applied Economics Dony, Julia
KU Leuven - Faculty of Business and Economics (FBE) Forys, Monika B.
KU Leuven - Department of Mathematics Linders, Daniël
KU Leuven - Department of Applied Economics Schoutens, Wim
KU Leuven - Department of Mathematics
|
|
206
|
3
|
|
| |
|
| |
|
|
|
|
|
|
10.
|
|
|
Madan, Dilip B.
University of Maryland - Robert H. Smith School of Business Pistorius, Martijn
Imperial College London Schoutens, Wim
KU Leuven - Department of Mathematics
|
| Posted: |
|
04 Mar 10
|
|
Last Revised:
|
|
14 May 11
|
|
237
(62,936)
|
3
|
|
| |
|
| |
Variance Gamma, Local Levy, Barrier Pricing, Sato Process
|
|
|
11.
|
|
|
Decamps, Marc
Katholieke Universiteit Leuven (KUL) Goovaerts, Marc
Catholic University of Leuven (KUL) - Department of Economics Schoutens, Wim
KU Leuven - Department of Mathematics
|
| Posted: |
|
07 Jan 05
|
|
Last Revised:
|
|
15 Mar 09
|
|
221
(67,495)
|
|
|
| |
|
| |
SETAR, State-price density, Skew Brownian motion, Eigenfunction expansions, Interest rates, Market models
|
|
|
12.
|
|
|
Corcuera, José Manuel
University of Barcelona - Faculty of Mathematics Guillaume, Florence
KU Leuven Madan, Dilip B.
University of Maryland - Robert H. Smith School of Business Schoutens, Wim
KU Leuven - Department of Mathematics
|
|
217
(68,767)
|
|
|
| |
|
| |
Liquidity, bid-ask pricing, conic finance
|
|
|
13.
|
|
|
Vanduffel, Steven
Vrije Universiteit Brussel (VUB) Chernih, Andrew
affiliation not provided to SSRN Maj, Mateusz
affiliation not provided to SSRN Schoutens, Wim
KU Leuven - Department of Mathematics
|
| Posted: |
|
30 Oct 07
|
|
Last Revised:
|
|
14 Feb 12
|
|
198
(75,458)
|
|
|
| |
|
| |
Financial Structured Product, CPPI, Asian Option, Optimal investment, Mean Variance, Markowitz, Lévy Process, Exponential tilting, CAPM, Esscher transform
|
|
|
14.
|
|
|
Madan, Dilip B.
University of Maryland - Robert H. Smith School of Business Schoutens, Wim
KU Leuven - Department of Mathematics
|
|
198
(75,458)
|
8
|
|
| |
|
| |
Default Probabilities, Levy Models, CDS pricing
|
|
|
15.
|
|
|
Madan, Dilip B.
University of Maryland - Robert H. Smith School of Business Eberlein, Ernst
University of Freiburg Schoutens, Wim
KU Leuven - Department of Mathematics
|
| Posted: |
|
31 Jan 11
|
|
Last Revised:
|
|
25 Oct 11
|
|
177
(84,520)
|
|
|
| |
|
| |
Conic Finance, Bid and Ask Prices, Sato Process, Weibull Distribution
|
|
|
16.
|
|
|
Decamps, Marc
Katholieke Universiteit Leuven (KUL) De Schepper, Ann
University of Antwerp - Faculty of Applied Economics Goovaerts, Marc
Catholic University of Leuven (KUL) - Department of Economics Schoutens, Wim
KU Leuven - Department of Mathematics
|
| Posted: |
|
06 Jan 05
|
|
Last Revised:
|
|
07 Oct 08
|
|
177
(84,066)
|
|
|
| |
|
| |
Skew Brownian motion, Bessel processes, local time, spectral theory, perpetuities
|
|
|
17.
|
|
|
Dobránszky, Péter
BNP Paribas, Risk - Investment & Markets Schoutens, Wim
KU Leuven - Department of Mathematics
|
|
164
(90,296)
|
2
|
|
| |
|
| |
LCDX tranches, LCDS, loan-only credit default swap, credit risk, credit derivatives, one-factor model, base correlations, tranche pricing, recursive formula, Levy processes, default risk, prepayment risk, alpha-stable process, variance gamma process
|
|
|
18.
|
|
|
Madan, Dilip B.
University of Maryland - Robert H. Smith School of Business Schoutens, Wim
KU Leuven - Department of Mathematics
|
| Posted: |
|
03 Feb 10
|
|
Last Revised:
|
|
03 May 10
|
|
162
(91,285)
|
|
|
| |
|
| |
|
|
|
19.
|
|
|
Garcia, Joao
Fitch Solutions Goossens, Serge
affiliation not provided to SSRN Schoutens, Wim
KU Leuven - Department of Mathematics
|
|
160
(92,321)
|
|
|
| |
|
| |
CPPI, Levy, Variance Gamma, CDO, Credit Derivatives
|
|
|
20.
|
|
|
Madan, Dilip B.
University of Maryland - Robert H. Smith School of Business Schoutens, Wim
KU Leuven - Department of Mathematics
|
| Posted: |
|
31 Jan 11
|
|
Last Revised:
|
|
23 Feb 12
|
|
145
(100,773)
|
1
|
|
| |
|
| |
Nonlinear Expectations, Concave Distortions, Variance Gamma Process, Conic Finance
|
|
|
21.
|
|
|
Corcuera, José Manuel
University of Barcelona De Spiegeleer, Jan
Jabre Capital Partners Ferreiro-Castilla, Albert
Universidad Autonoma de Madrid Kyprianou, Andreas E.
University of Bath Madan, Dilip B.
University of Maryland - Robert H. Smith School of Business Schoutens, Wim
KU Leuven - Department of Mathematics
|
|
138
(105,124)
|
1
|
|
| |
|
| |
Wiener-Hopf factorization, Lévy processes, CoCo pricing, Monte-Carlo simulation
|
|
|
22.
|
|
|
De Spiegeleer, Jan
Jabre Capital Partners Schoutens, Wim
KU Leuven - Department of Mathematics
|
|
128
(111,882)
|
|
|
| |
|
| |
Contingent Capital, CoCo, Death Spiral
|
|
|
23.
|
|
|
Di Girolamo, Francesca
Joint Research Centre, Italy Campolongo, Francesca
Europoean Commission - Joint Reserach Centre De Spiegeleer, Jan
Jabre Capital Partners Schoutens, Wim
KU Leuven - Department of Mathematics
|
|
115
(122,762)
|
|
|
| |
|
| |
G13, G18, G21, C15
|
|
|
24.
|
|
|
Fang, Fang
Delft University of Technology Jönsson, Henrik
European Institute for Statistics, Probability, Operations Research and their Applications (EURANDOM) Oosterlee, Cornelis W.
Center for Mathematics and Computer Science (CWI) Schoutens, Wim
KU Leuven - Department of Mathematics
|
|
84
(151,518)
|
2
|
|
| |
|
| |
Levy processes,Credit risk, Default probability, Credit Default Swaps, Fourier-cosine expansion
|
|
|
25.
|
|
|
Dobránszky, Péter
BNP Paribas, Risk - Investment & Markets Schoutens, Wim
KU Leuven - Department of Mathematics
|
|
82
(153,782)
|
|
|
| |
|
| |
cancellation risk, bullet LCDS, LCDX, tranche pricing, marking-to-market, hedging, one-factor models, base correlation, L¿vy copulas, stochastic recovery
|
|
|
26.
|
|
|
Guillaume, Florence
KU Leuven Schoutens, Wim
KU Leuven - Department of Mathematics
|
|
73
(165,074)
|
|
|
| |
|
| |
calibration, moment matching, exponential Levy models
|
|
|
27.
|
|
|
Madan, Dilip B.
University of Maryland - Robert H. Smith School of Business Schoutens, Wim
KU Leuven - Department of Mathematics
|
| Posted: |
|
20 May 11
|
|
Last Revised:
|
|
21 Nov 11
|
|
61
(182,063)
|
2
|
|
| |
|
| |
|
|
|
28.
|
|
|
Jönsson, Henrik
European Institute for Statistics, Probability, Operations Research and their Applications (EURANDOM) Schoutens, Wim
KU Leuven - Department of Mathematics
|
|
52
(196,740)
|
2
|
|
| |
|
| |
Single sided Levy processes, Structural models, Credit risk, Default probability, Constant Maturity Credit Default Swaps, Monte Carlo methods
|
|
|
29.
|
|
|
Jönsson, Henrik
European Institute for Statistics, Probability, Operations Research and their Applications (EURANDOM) Schoutens, Wim
KU Leuven - Department of Mathematics
|
|
47
(205,760)
|
2
|
|
| |
|
| |
Single sided Levy processes, Structural models, Credit risk, Default probability, Credit Default Swaptions, Option pricing
|
|
|
30.
|
|
|
Corcuera, José Manuel
University of Barcelona Fajardo, José
Getulio Vargas Foundation Jonsson, Henrik
European Commission - Joint Research Centre Schoutens, Wim
KU Leuven - Department of Mathematics Valdivia, Arturo
University of Barcelona
|
|
43
(213,510)
|
|
|
| |
|
| |
Contingent Convertibles, Credit Risk, Structural Approach, First Passage Times
|
|
|
31.
|
|
|
Guillaume, Florence
KU Leuven Schoutens, Wim
KU Leuven - Department of Mathematics Albrecher, Hansjoerg
affiliation not provided to SSRN
|
|
43
(213,510)
|
|
|
| |
|
| |
implied liquidity, conic finance, model sensitivity, pre-and post crisis liquidity
|
|
|
32.
|
|
|
Madan, Dilip B.
University of Maryland - Robert H. Smith School of Business Schoutens, Wim
KU Leuven - Department of Mathematics
|
|
38
(223,807)
|
|
|
| |
|
| |
|
|
|
33.
|
|
|
Guillaume, Florence
KU Leuven Schoutens, Wim
KU Leuven - Department of Mathematics
|
|
21
(274,905)
|
|
|
| |
|
| |
Heston model, Starting values, Variance term structure matching
|
|
|
34.
|
|
|
Eberlein, Ernst
University of Freiburg Madan, Dilip B.
University of Maryland - Robert H. Smith School of Business Schoutens, Wim
KU Leuven - Department of Mathematics
|
|
20
(274,905)
|
|
|
| |
|
| |
|
|
|
35.
|
|
|
Eberlein, Ernst
University of Freiburg Madan, Dilip B.
University of Maryland - Robert H. Smith School of Business Pistorius, Martijn
Imperial College London Schoutens, Wim
KU Leuven - Department of Mathematics Yor, Marc
University of Paris 6 Pierre et Marie Curie
|
|
13
(299,823)
|
|
|
| |
|
| |
|
|
|
36.
|
|
|
Di Girolamo, Francesca
Joint Research Centre, Italy Jonsson, Henrik
European Commission - Joint Research Centre Campolongo, Francesca
Europoean Commission - Joint Reserach Centre Schoutens, Wim
KU Leuven - Department of Mathematics
|
|
12
(303,337)
|
|
|
| |
|
| |
G21, G13, C15, C00
|
|
|
37.
|
|
|
Guillaume, Florence
KU Leuven Schoutens, Wim
KU Leuven - Department of Mathematics
|
|
6
(322,185)
|
|
|
| |
|
| |
|
|
|
38.
|
|
|
De Spiegeleer, Jan
Jabre Capital Partners Schoutens, Wim
KU Leuven - Department of Mathematics
|
|
0
(348,973)
|
|
|
| |
|
| |
|
|
|
39.
|
|
|
Madan, Dilip B.
affiliation not provided to SSRN Schoutens, Wim
KU Leuven - Department of Mathematics
|
|
0
(348,973)
|
|
|
| |
|
| |
Levy process, Sato process, pricing to acceptability
|
|
|
40.
|
|
|
Maes, Stan
affiliation not provided to SSRN Schoutens, Wim
KU Leuven - Department of Mathematics
|
|
0
(348,973)
|
6
|
|
| |
|
| |
|
|
|
41.
|
|
|
Jönsson, Henrik
European Institute for Statistics, Probability, Operations Research and their Applications (EURANDOM) Schoutens, Wim
KU Leuven - Department of Mathematics
|
|
|
|
|
| |
|
| |
Structured Finance, Asset-Backed Securities, Rating, Default Models, Prepayment Models
|
|
|
42.
|
|
|
Guillaume, Florence
KU Leuven Schoutens, Wim
KU Leuven - Department of Mathematics
|
|
|
|
|
| |
|
| |
Credit risk, CDOs-squared, collateralized debt obligations, correlation, copula, hedging
|
|
