Daniel Egloff

QuantAlea GmbH

Managing Director

Wasserfuristrasse 42

Wiesendangen, 8542

Switzerland

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    • Tel: +41 44 520 0117
SCHOLARLY PAPERS

6

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7,044

SSRN CITATIONS
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Top 37,787

in Total Papers Citations

13

CROSSREF CITATIONS

14

Scholarly Papers (6)

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1.

Variance Risk Dynamics, Variance Risk Premia, and Optimal Variance Swap Investments

EFA 2006 Zurich Meetings Paper
Number of pages: 60 Posted: 24 May 2006 Last Revised: 19 Nov 2007
Markus Leippold, Liuren Wu and Daniel Egloff
University of Zurich, City University of New York, Baruch College - Zicklin School of Business - Department of Economics and Finance and QuantAlea GmbH
Downloads 2,494 (11,223)
Citation 9

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Return variance swap, equity index options, term structure

2.

A Simple Model of Credit Contagion

EFA 2004 Maastricht Meetings
Number of pages: 55 Posted: 05 Jan 2004 Last Revised: 18 Dec 2008
Markus Leippold, Daniel Egloff and Paolo Vanini
University of Zurich, QuantAlea GmbH and University of Basel
Downloads 2,194 (13,780)
Citation 21

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Credit Portfolio Risk Management, Contagion, Macroeconomic Deependencies, Microstructural Dependencies, Value-at-Risk, Expected Shortfall

3.

American Options with Stopping Time Constraints

Number of pages: 19 Posted: 12 Sep 2005
Daniel Egloff, Markus Leippold and Walter Farkas
QuantAlea GmbH, University of Zurich and University of Zurich - Department Finance
Downloads 774 (63,683)
Citation 2

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American options, optimal stopping under constraints, out-performance options, management options

4.

Optimal Importance Sampling for Credit Portfolios with Stochastic Approximation

Number of pages: 25 Posted: 07 Apr 2005
Daniel Egloff, Markus Leippold, Stephan Joehri and Curdin Dalbert
QuantAlea GmbH, University of Zurich, University of Zurich - Swiss Banking Institute (ISB) and Zurcher Kantonalbank - Corporate Risk Control
Downloads 743 (67,193)
Citation 9

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Credit risk, Monte Carlo simulation, importance sampling, stochastic approximation, Robbins-Monro

5.

Quantile Estimation with Adaptive Importance Sampling

Number of pages: 39 Posted: 25 Jul 2007 Last Revised: 03 Nov 2009
Daniel Egloff and Markus Leippold
QuantAlea GmbH and University of Zurich
Downloads 442 (128,034)
Citation 2

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Quantile Estimation, Adaptive Importance Sampling, Credit Risk, Stochastic Approximation

6.

Monte Carlo Algorithms for Optimal Stopping and Statistical Learning - Convergence Rates and Sample Complexity

Number of pages: 21 Posted: 15 Oct 2003
Daniel Egloff
QuantAlea GmbH
Downloads 397 (145,003)
Citation 5

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Optimal stopping, American options, statistical learning, empirical processes, uniform law of large numbers, concentration inequalities, Vapnik-Chervonenkis classes, Monte Carlo methods.