Cobertizo San Pedro Martir s/n
Toledo, Toledo 45071
University of Castilla-La Mancha
in Total Papers Downloads
Least-Squares Monte Carlo, Option Pricing, American Options
Portfolio selection, commodity futures, conditional copulas, skew preferences
Asymmetric DCC, multivariate generalized hyperbolic distributions, tail risk, skewness, risk measure backtests
Term structure of interest rates, bond pricing equation, two-factor models, Ornstein-Uhlenbeck process, CIR process
Asian Options, Arithmetic Average, Geometric Average, Edgeworth Expansion, Lognormal Distribution, Gamma Distribution
square-root process, interest rates, term structure, continuous-time model, harmonic waves, martingale
CKLS model, interest rates, term structure, continuous-time model, harmonic waves, martingale
Stochastic string, Continuous-time process, Multi-factor model, Option pricing, Term structure
Incomplete Markets, Stochastic Volatility Model, CIR Process, Ornstein-Uhlenbeck Process, Good-deal Bounds
Kyoto protocol, Price transmission, Volatility transmission, Certified Emissions Reduction
Stochastic calculus, Semimartingales, Stochastic strings, Derivatives pricing, Term structure, Interest rates
Stochastic string model, LIBOR market model, Black formulas, Caps, Swaptions
Risk management, approximate methods, multifactor adjustments, random recoveries, VaR, expected shortfall.
Shot Noise, Characteristic Function, Spectral Density
Real options, R&D, Economic risk, Fourier series, Pharmaceutical industry, Risk factor
Credit risk, macroprudential supervision, approximate methods, saddlepoint, risk allocation, VaR, expected shortfall.
Completeness, stochastic string, generalized function, hedging, martingale measure, bond market, term structure of interest rates
Monte Carlo, importance sampling, credit risk, macroprudential supervision, risk allocation, VaR, expected shortfall.
Malliavin calculus, stochastic string, barrier option, optimal portfolio, mutual fund theorem
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credit risk, macroprudential supervision, saddlepoint, risk allocation, value-at-risk, expected shortfall
Fourier series, Energy Markets, Seasonality, Periodic fluctuations, Long-term swing
Finance, credit risk, approximate methods, multi-period models
Credit risk, model risk, parameter uncertainty, Vasicek model, Basel capital requirement
Risk management, approximate methods, random recoveries
Lower/Upper partial moment, Certainty Equivalent, Rank correlation, SNP distribution.
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