Wolfram Boenkost

Lucht Probst Associates GmbH

Grosse Gallusstr. 9

Frankfurt, 60311

Germany

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

SCHOLARLY PAPERS

6

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Top 13,120

in Total Papers Downloads

7,114

SSRN CITATIONS

1

CROSSREF CITATIONS

10

Scholarly Papers (6)

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
Downloads 4,630 (4,035)
Citation 16

Abstract:

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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
Downloads 1,176 (34,801)
Citation 3

Abstract:

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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
Downloads 594 (87,524)
Citation 1

Abstract:

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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
Downloads 331 (173,475)

Abstract:

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

5.

The Heston Stochastic Volatility Model with Piecewise Constant Parameters - Efficient Calibration and Pricing of Window Barrier Options

Number of pages: 18 Posted: 24 Jul 2017 Last Revised: 27 Jan 2019
Daniel Guterding and Wolfram Boenkost
Technische Hochschule Mittelhessen and Lucht Probst Associates GmbH
Downloads 214 (268,894)
Citation 1

Abstract:

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Heston model, time-dependent parameters, characteristic function, window barrier options

6.

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
Downloads 169 (332,425)

Abstract:

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