Marius G. Rott

Independent

SCHOLARLY PAPERS

3

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Top 30,071

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2,167

SSRN CITATIONS

1

CROSSREF CITATIONS

10

Scholarly Papers (3)

1.

Cross-Currency and Hybrid Markov-Functional Models

Number of pages: 23 Posted: 27 Apr 2004
Christian P. Fries and Marius G. Rott
Ludwig Maximilian University of Munich (LMU) - Faculty of Mathematics and Independent
Downloads 1,472 (16,710)
Citation 8

Abstract:

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Interest Rate Model, Markov Functional Model, Cross Currency Model, Spot Measure in Time Discrete Lattice Model

2.

Fast and Robust Monte Carlo Cdo Sensitivities and Their Efficient Object Oriented Implementation

Number of pages: 32 Posted: 01 Jun 2005
Marius G. Rott and Christian P. Fries
Independent and Ludwig Maximilian University of Munich (LMU) - Faculty of Mathematics
Downloads 432 (88,126)
Citation 9

Abstract:

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Monte Carlo, CDO, Sensitivities, Greeks, Li Model, Likelihood Ratio, OO

3.

Keep It Simple - Notes on the Transition to New Interest Rate Benchmarks from a Quant Perspective

Number of pages: 3 Posted: 12 Sep 2018
DZ Bank AG, Ludwig Maximilian University of Munich (LMU) - Faculty of Mathematics and Independent
Downloads 263 (152,170)

Abstract:

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Interest Rate Modelling, Benchmark Rates, IBOR