Robert Frontczak

Landesbank Baden-Württemberg (LBBW)

Kleiner SchloBplatz 11

D-70173 Stuttgart, 70174

Germany

SCHOLARLY PAPERS

6

DOWNLOADS

651

SSRN CITATIONS

0

CROSSREF CITATIONS

0

Scholarly Papers (6)

1.

Valuing Options in Heston's Stochastic Volatility Model: Another Analytical Approach

Number of pages: 26 Posted: 11 Sep 2010
Robert Frontczak
Landesbank Baden-Württemberg (LBBW)
Downloads 153 (192,374)

Abstract:

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Stochastic volatility, European option, Mellin transform

2.

Option Pricing in Jump Diffusions: A New Integral-Based Framework for European and American Options

Number of pages: 29 Posted: 20 Mar 2012
Robert Frontczak
Landesbank Baden-Württemberg (LBBW)
Downloads 128 (222,088)

Abstract:

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jump diffusion, European/American option, Mellin transform

3.

From Power Curves to Discriminative Power: Measuring Model Performance of LGD Models

Number of pages: 22 Posted: 20 Apr 2017
Robert Frontczak, Michael Jaeger and Bernd Schumacher
Landesbank Baden-Württemberg (LBBW), Landesbank Baden-Württemberg (LBBW) and Landesbank Baden-Württemberg (LBBW)
Downloads 123 (228,915)

Abstract:

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LGD Model, Discriminative Power, Lorenz Curve, Gini Index, Validation

4.

Simple Analytical Approximations for the Critical Stock Price of American Options

Number of pages: 32 Posted: 03 Mar 2013
Robert Frontczak
Landesbank Baden-Württemberg (LBBW)
Downloads 92 (279,861)
Citation 2

Abstract:

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American option, Critical stock price, Analytical approximation

5.

Estimating LGD with Stochastic Collateral

Number of pages: 32 Posted: 20 Jan 2014
Robert Frontczak and Stefan Rostek
Landesbank Baden-Württemberg (LBBW) and University of Tuebingen - Faculty of Economics and Business Administration
Downloads 88 (287,921)

Abstract:

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Loss given default, Collateral, Real estate

6.

On Modified Mellin Transforms, Gauss-Laguerre Quadrature and the Valuation of American Call Options

Journal of Computational and Applied Mathematics
Number of pages: 30 Posted: 19 Feb 2009 Last Revised: 16 Sep 2010
Robert Frontczak and Rainer Schoebel
Landesbank Baden-Württemberg (LBBW) and University of Tuebingen - Faculty of Economics and Social Sciences
Downloads 67 (337,257)

Abstract:

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American call option, Mellin transform, Integral representation