Daniel Oeltz

Independent

No Address Available

United States

SCHOLARLY PAPERS

3

DOWNLOADS
Rank 44,754

SSRN RANKINGS

Top 44,754

in Total Papers Downloads

988

SSRN CITATIONS

0

CROSSREF CITATIONS

6

Scholarly Papers (3)

1.

Calibration of the Heston Stochastic Local Volatility Model: A Finite Volume Scheme

Number of pages: 21 Posted: 26 Apr 2011 Last Revised: 13 Feb 2012
Bernd Engelmann, Frank Koster and Daniel Oeltz
Ho Chi Minh City Open University, DGZ-DekaBank and Independent
Downloads 727 (35,863)
Citation 10

Abstract:

Loading...

Heston Model, Local Volatility Model, Finite Volume Scheme

2.

A Universal Pairwise Local Correlation Model

Number of pages: 27 Posted: 19 Apr 2016 Last Revised: 16 Sep 2017
Frank Koster and Daniel Oeltz
DGZ-DekaBank and Independent
Downloads 131 (228,647)

Abstract:

Loading...

local correlation, path-dependent volatility, path-dependent correlation, calibration, particle method

3.

A Generic Approach to Manage Gap Risk

Number of pages: 5 Posted: 10 Jan 2012
Daniel Oeltz and Frank Koster
Independent and DGZ-DekaBank
Downloads 130 (229,979)

Abstract:

Loading...

gap risk, barrier management, overhedging