Wolfram Boenkost

Lucht Probst Associates GmbH

Grosse Gallusstr. 9

Frankfurt, 60311

Germany

http://www.l-p-a.com

SCHOLARLY PAPERS

5

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CITATIONS
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Top 27,019

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9

Scholarly Papers (5)

1.

Cross Currency Swap Valuation

Number of pages: 15 Posted: 09 Apr 2009
Wolfram Boenkost and Wolfgang M. Schmidt
Lucht Probst Associates GmbH and Frankfurt School of Finance & Management Gemeinnützige GmbH
Downloads 2,519 (2,837)
Citation 8

Abstract:

interest rate swap, cross currency swap, basis spread

2.

Notes on Convexity and Quanto Adjustments for Interest Rates and Related Options

Number of pages: 36 Posted: 10 Apr 2009 Last Revised: 25 Feb 2017
Wolfram Boenkost and Wolfgang M. Schmidt
Lucht Probst Associates GmbH and Frankfurt School of Finance & Management Gemeinnützige GmbH
Downloads 429 (44,155)
Citation 1

Abstract:

interest rate options, convexity, quanto adjustment, change

3.

Interest Rate Convexity and the Volatility Smile

Number of pages: 28 Posted: 10 Apr 2009
Wolfram Boenkost and Wolfgang M. Schmidt
Lucht Probst Associates GmbH and Frankfurt School of Finance & Management Gemeinnützige GmbH
Downloads 376 (57,692)

Abstract:

interest rate options, volatility smile, convexity, option

4.

CVA/DVA Wrong Way Risk Put into Practice

Number of pages: 20 Posted: 01 May 2014 Last Revised: 17 Feb 2015
Wolfram Boenkost and Wolfgang M. Schmidt
Lucht Probst Associates GmbH and Frankfurt School of Finance & Management Gemeinnützige GmbH
Downloads 135 (119,679)

Abstract:

counterparty default, credit valuation adjustment (CVA), debt valuation adjustment (DVA), wrong way risk, correlation

5.

A Functional Libor Market Model: Implementation and Application to Exposure Measurement

Number of pages: 18 Posted: 08 Oct 2015
Wolfram Boenkost and Wolfgang M. Schmidt
Lucht Probst Associates GmbH and Frankfurt School of Finance & Management Gemeinnützige GmbH
Downloads 0 (318,621)

Abstract:

interest rate modelling, volatility smile/skew, Libor market model, Markov functional model, potential future exposure, counterparty default