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Jessen, Cathrine's
Scholarly Papers
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Total Downloads
1,383 |
Total
Citations
5 |
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Cont, Rama Imperial College London Jessen, Cathrine Copenhagen Business School - Department of Finance
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08 May 09
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14 Nov 10
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712
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CPDO, credit risk, top down models, credit rating, structured product, credit derivatives
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Jessen, Cathrine Copenhagen Business School - Department of Finance
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30 Nov 09
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Last Revised:
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15 Dec 10
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418
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CPPI, gap risk, discrete portfolio rebalancing, Sortino ratio, kinked CRRA utility
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Jessen, Cathrine Copenhagen Business School - Department of Finance Poulsen, Rolf University of Copenhagen - Department of Statistics and Operations Research
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Barrier options, risk-management, valuation, empirical performance
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