Daniel Egloff

QuantAlea GmbH

Managing Director

Wasserfuristrasse 42

Wiesendangen, 8542

Switzerland

SCHOLARLY PAPERS

6

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Top 6,823

in Total Papers Downloads

6,484

SSRN CITATIONS
Rank 31,629

SSRN RANKINGS

Top 31,629

in Total Papers Citations

0

CROSSREF CITATIONS

0

Scholarly Papers (6)

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 - Department of Banking and Finance, City University of New York, CUNY Baruch College - Zicklin School of Business and QuantAlea GmbH
Downloads 2,371 (5,411)
Citation 15

Abstract:

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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 - Department of Banking and Finance, QuantAlea GmbH and University of Basel
Downloads 2,053 (6,879)
Citation 6

Abstract:

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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 - Department of Banking and Finance and University of Zurich - Department of Banking and Finance
Downloads 691 (36,378)
Citation 1

Abstract:

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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
QuantAlea GmbH, University of Zurich - Department of Banking and Finance, University of Zurich - Swiss Banking Institute (ISB) and Zurcher Kantonalbank - Corporate Risk Control
Downloads 650 (39,425)
Citation 6

Abstract:

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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 - Department of Banking and Finance
Downloads 389 (75,222)
Citation 2

Abstract:

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

6.
Downloads 330 (90,878)
Citation 1

Abstract:

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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.