Wim Schoutens

KU Leuven - Department of Mathematics

Celestijnenlaan 200 B

Leuven, B-3001

Belgium

SCHOLARLY PAPERS

63

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CITATIONS
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89

Scholarly Papers (63)

1.

Pricing Contingent Convertibles: A Derivatives Approach

Number of pages: 36 Posted: 30 Mar 2011 Last Revised: 24 Jun 2011
Jan De Spiegeleer and Wim Schoutens
RiskConcile & KU Leuven and KU Leuven - Department of Mathematics
Downloads 1,560 (4,973)
Citation 8

Abstract:

CoCos, Contingent, Capital, Derivatives

The Herd Behavior Index: A New Measure for the Implied Degree of Co-Movement in Stock Markets

Insurance: Mathematics and Economics, Vol. 50, No. 3, 2012
Number of pages: 31 Posted: 12 Sep 2011 Last Revised: 22 Feb 2012
Katholieke Universiteit Leuven - Faculty of Economics and Business, KU Leuven - Department of Applied Economics, KU Leuven - Department of Mathematics and Ghent University-Universiteit Gent - Department of Applied Mathematics and Computer Science
Downloads 617 (32,071)
Citation 1

Abstract:

Comonotonicity, herd behavior, systemic risk, correlation, VIX volatility index

The Herd Behavior Index: A New Measure for Systemic Risk in Financial Markets

Number of pages: 32 Posted: 01 Dec 2011 Last Revised: 18 Jan 2015
Katholieke Universiteit Leuven - Faculty of Economics and Business, KU Leuven - Department of Applied Economics, KU Leuven - Department of Mathematics and Ghent University-Universiteit Gent - Department of Applied Mathematics and Computer Science
Downloads 128 (177,620)
Citation 1

Abstract:

Comonotonicity, systemic risk, correlation, VIX volatility index

3.

Hedging Under the Heston Model with Jump-to-Default

Number of pages: 12 Posted: 24 Sep 2007
Peter Carr and Wim Schoutens
New York University (NYU) - Courant Institute of Mathematical Sciences and KU Leuven - Department of Mathematics
Downloads 540 (37,503)
Citation 4

Abstract:

hHeston, hedging, variance swaps, CDS, jump to default

4.

Contingent Capital: An In-Depth Discussion

Number of pages: 23 Posted: 06 Aug 2010 Last Revised: 28 Aug 2010
Stan Maes and Wim Schoutens
European Commission - DG Internal market and financial services and KU Leuven - Department of Mathematics
Downloads 536 (36,404)
Citation 5

Abstract:

Contingent Capital, Moral Hazard, Financial Regulation

5.

Contingent Conversion Convertible Bond: New Avenue to Raise Bank Capital

Number of pages: 22 Posted: 05 Jan 2013
Joint Research Centre, Italy, Europoean Commission - Joint Reserach Centre, RiskConcile & KU Leuven and KU Leuven - Department of Mathematics
Downloads 453 (35,349)

Abstract:

G13, G18, G21, C15

6.

CoCo Bonds with Extension Risk

Number of pages: 33 Posted: 05 Feb 2014
Jan De Spiegeleer and Wim Schoutens
RiskConcile & KU Leuven and KU Leuven - Department of Mathematics
Downloads 440 (29,181)

Abstract:

contingent capital, CoCo bonds, extension risk, bail-in, additional Tier 1, Tier 2

7.
Downloads 358 ( 64,442)
Citation 2

FIX - The Fear Index: Measuring Market Fear

Number of pages: 17 Posted: 18 Jul 2011 Last Revised: 18 Jan 2015
Katholieke Universiteit Leuven - Faculty of Economics and Business, KU Leuven - Faculty of Business and Economics (FEB), KU Leuven - Department of Mathematics, KU Leuven - Department of Applied Economics and KU Leuven - Department of Mathematics
Downloads 300 (78,296)
Citation 2

Abstract:

FIX - The Fear Index: Measuring Market Fear

Number of pages: 18 Posted: 01 Dec 2011
Katholieke Universiteit Leuven - Faculty of Economics and Business, KU Leuven - Faculty of Business and Economics (FEB), KU Leuven - Department of Mathematics, KU Leuven - Department of Applied Economics and KU Leuven - Department of Mathematics
Downloads 58 (295,904)
Citation 2

Abstract:

8.

Conic Coconuts: The Pricing of Contingent Capital Notes Using Conic Finance

Robert H. Smith School Research Paper No. RHS 06-135
Number of pages: 21 Posted: 08 Jul 2010 Last Revised: 23 Nov 2010
Dilip B. Madan and Wim Schoutens
University of Maryland - Robert H. Smith School of Business and KU Leuven - Department of Mathematics
Downloads 345 (61,025)
Citation 8

Abstract:

Contingent capital, conic finance, acceptability, distorted expectations, capital requirements

9.

A Multivariate Jump-Driven Financial Asset Model

ICER Applied Mathematics Working Paper No. 6 - 2005
Number of pages: 27 Posted: 20 May 2005
Elisa Luciano and Wim Schoutens
Collegio Carlo Alberto and KU Leuven - Department of Mathematics
Downloads 314 (71,383)
Citation 13

Abstract:

10.

Implied Liquidity - Towards Stochastic Liquidity Modeling and Liquidity Trading

Number of pages: 11 Posted: 14 Feb 2011
University of Barcelona - Faculty of Mathematics, University of Antwerp, University of Maryland - Robert H. Smith School of Business and KU Leuven - Department of Mathematics
Downloads 310 (68,757)

Abstract:

Liquidity, bid-ask pricing, conic finance

11.

Conic Financial Markets and Corporate Finance

Robert H. Smith School Research Paper No. RHS 06-121
Number of pages: 23 Posted: 04 Feb 2010 Last Revised: 13 May 2010
Wim Schoutens and Dilip B. Madan
KU Leuven - Department of Mathematics and University of Maryland - Robert H. Smith School of Business
Downloads 300 (70,645)
Citation 7

Abstract:

Optimal Debt, Bid Ask Price, Capital Requirements, Pricing to Acceptability

12.

The Valuation of Structured Products Using Markov Chain Models

Robert H. Smith School Research Paper No. RHS 06-142
Number of pages: 24 Posted: 04 Mar 2010 Last Revised: 14 May 2011
Dilip B. Madan, Martijn Pistorius and Wim Schoutens
University of Maryland - Robert H. Smith School of Business, Imperial College London and KU Leuven - Department of Mathematics
Downloads 287 (79,082)
Citation 3

Abstract:

Variance Gamma, Local Levy, Barrier Pricing, Sato Process

13.

Mandelbrot's Extremism

CentER Discussion Paper Series No. 2004-125
Number of pages: 13 Posted: 05 Jan 2005
Jan Beirlant, Wim Schoutens and Johan Segers
Catholic University of Leuven (KUL), KU Leuven - Department of Mathematics and Catholic University of Louvain (UCL)
Downloads 286 (77,617)
Citation 1

Abstract:

exceedances, extreme value theory, heavy tails, maxima

14.

Self Exciting Threshold Interest Rates Models

International Journal of Theoretical and Applied Finance, Vol. 9, No. 7, pp. 1093-1122, 2006
Number of pages: 36 Posted: 07 Jan 2005 Last Revised: 15 Mar 2009
Marc Decamps, Marc Goovaerts and Wim Schoutens
Katholieke Universiteit Leuven (KUL), Catholic University of Leuven (KUL) - Department of Economics and KU Leuven - Department of Mathematics
Downloads 241 (92,643)

Abstract:

SETAR, State-price density, Skew Brownian motion, Eigenfunction expansions, Interest rates, Market models

15.

Efficient Pricing of Contingent Convertibles Under Smile Conform Models

Number of pages: 13 Posted: 05 Nov 2011
University of Barcelona, RiskConcile & KU Leuven, Universidad Autonoma de Madrid, University of Bath, University of Maryland - Robert H. Smith School of Business and KU Leuven - Department of Mathematics
Downloads 240 (77,098)
Citation 3

Abstract:

Wiener-Hopf factorization, Lévy processes, CoCo pricing, Monte-Carlo simulation

16.

The Impact of Skew on the Pricing of Coco Bonds

Number of pages: 18 Posted: 01 Apr 2014
RiskConcile & KU Leuven, KU Leuven - Department of Mathematics, KU Leuven - Department of Mathematics and KU Leuven - Department of Mathematics
Downloads 228 (71,642)

Abstract:

17.

Heston Model: The Variance Swap Calibration

Number of pages: 15 Posted: 24 Apr 2013
Florence Guillaume and Wim Schoutens
University of Antwerp and KU Leuven - Department of Mathematics
Downloads 226 (77,357)
Citation 1

Abstract:

Heston model, Starting values, Variance term structure matching

18.

Break on Through to the Single Side

Number of pages: 20 Posted: 26 Jul 2007
Dilip B. Madan and Wim Schoutens
University of Maryland - Robert H. Smith School of Business and KU Leuven - Department of Mathematics
Downloads 225 (101,655)
Citation 9

Abstract:

Default Probabilities, Levy Models, CDS pricing

19.

A Note on the Suboptimality of Path-Dependent Pay-Offs in Levy Markets

Final version in Applied Mathematical Finance, Vol. 16, No. 4, pp 315-330
Number of pages: 17 Posted: 30 Oct 2007 Last Revised: 14 Feb 2012
Vrije Universiteit Brussel (VUB), affiliation not provided to SSRN, affiliation not provided to SSRN and KU Leuven - Department of Mathematics
Downloads 217 (109,606)
Citation 1

Abstract:

Financial Structured Product, CPPI, Asian Option, Optimal investment, Mean Variance, Markowitz, Lévy Process, Exponential tilting, CAPM, Esscher transform

20.

Capital Requirements, the Option Surface, Market, Credit and Liquidity Risk

Robert H. Smith School Research Paper No. RHS 06-136
Number of pages: 57 Posted: 31 Jan 2011 Last Revised: 25 Oct 2011
Dilip B. Madan, Ernst Eberlein and Wim Schoutens
University of Maryland - Robert H. Smith School of Business, University of Freiburg and KU Leuven - Department of Mathematics
Downloads 207 (111,593)

Abstract:

Conic Finance, Bid and Ask Prices, Sato Process, Weibull Distribution

21.

Steering a Bank Around a Death Spiral: Multiple Trigger CoCos

Number of pages: 16 Posted: 26 Dec 2011
Jan De Spiegeleer and Wim Schoutens
RiskConcile & KU Leuven and KU Leuven - Department of Mathematics
Downloads 206 (105,772)

Abstract:

Contingent Capital, CoCo, Death Spiral

22.

CoCo Bonds and Implied CET1 Volatility

Number of pages: 27 Posted: 10 Mar 2015 Last Revised: 18 Dec 2015
RiskConcile & KU Leuven, Independent, KU Leuven - Department of Mathematics and KU Leuven - Department of Mathematics
Downloads 200 (41,678)

Abstract:

contingent convertibles, CoCo bonds, CET1, Core Equity Tier 1, PONV, Point of Non-Viability

23.

Simple Processes and the Pricing and Hedging of Cliquets

Robert H. Smith School Research Paper No. RHS 06-111
Number of pages: 21 Posted: 03 Feb 2010 Last Revised: 03 May 2010
Dilip B. Madan and Wim Schoutens
University of Maryland - Robert H. Smith School of Business and KU Leuven - Department of Mathematics
Downloads 186 (125,470)
Citation 1

Abstract:

24.

Generic Levy One-Factor Models for the Joint Modelling of Prepayment and Default: Modelling LCDX

Number of pages: 14 Posted: 31 Jul 2008
Péter Dobránszky and Wim Schoutens
BNP Paribas, Risk - Investment & Markets and KU Leuven - Department of Mathematics
Downloads 185 (121,419)
Citation 2

Abstract:

LCDX tranches, LCDS, loan-only credit default swap, credit risk, credit derivatives, one-factor model, base correlations, tranche pricing, recursive formula, Levy processes, default risk, prepayment risk, alpha-stable process, variance gamma process

25.

A Note on Some New Perpetuities

Scandinavian Actuarial Journal, Vol. 4, p. 261-270, 2005
Number of pages: 13 Posted: 06 Jan 2005 Last Revised: 07 Oct 2008
Katholieke Universiteit Leuven (KUL), University of Antwerp - Faculty of Applied Economics, Catholic University of Leuven (KUL) - Department of Economics and KU Leuven - Department of Mathematics
Downloads 180 (132,701)

Abstract:

Skew Brownian motion, Bessel processes, local time, spectral theory, perpetuities

26.

Tenor Specific Pricing

Robert H. Smith School Research Paper No. RHS-06-143
Number of pages: 23 Posted: 31 Jan 2011 Last Revised: 23 Feb 2012
Dilip B. Madan and Wim Schoutens
University of Maryland - Robert H. Smith School of Business and KU Leuven - Department of Mathematics
Downloads 177 (128,626)
Citation 1

Abstract:

Nonlinear Expectations, Concave Distortions, Variance Gamma Process, Conic Finance

27.

Let's Jump Together - Pricing of Credit Derivatives: From Index Swaptions to CPPIs

Number of pages: 14 Posted: 13 Mar 2009
Joao Garcia, Serge Goossens and Wim Schoutens
Fitch Solutions, affiliation not provided to SSRN and KU Leuven - Department of Mathematics
Downloads 172 (134,009)

Abstract:

CPPI, Levy, Variance Gamma, CDO, Credit Derivatives

28.

Close Form Pricing Formulas for CoCa CoCos

Number of pages: 18 Posted: 25 Jan 2013
University of Barcelona, Getulio Vargas Foundation, European Commission - Joint Research Centre, KU Leuven - Department of Mathematics and University of Barcelona
Downloads 168 (106,250)
Citation 1

Abstract:

Contingent Convertibles, Credit Risk, Structural Approach, First Passage Times

29.

Basket Option Pricing and Implied Correlation in a One-Factor Lévy Model

Proceedings of the conference 'Challenges in Derivatives Markets', eds: Kathrin Glau, Zorana Grbac, Matthias Scherer, Rudi Zagst, 2015
Number of pages: 33 Posted: 21 Jul 2014 Last Revised: 28 Oct 2015
Daniël Linders and Wim Schoutens
KU Leuven - Department of Applied Economics and KU Leuven - Department of Mathematics
Downloads 149 (156,633)

Abstract:

basket options, characteristic function, implied correlation, Lévy market, Variance-Gamma

30.

A Moment Matching Market Implied Calibration

Number of pages: 25 Posted: 15 Mar 2012
Florence Guillaume and Wim Schoutens
University of Antwerp and KU Leuven - Department of Mathematics
Downloads 143 (126,741)
Citation 2

Abstract:

calibration, moment matching, exponential Levy models

31.

Two Processes for Two Prices

Robert H. Smith School Research Paper
Number of pages: 25 Posted: 24 Jun 2013
Dilip B. Madan and Wim Schoutens
University of Maryland - Robert H. Smith School of Business and KU Leuven - Department of Mathematics
Downloads 116 (155,665)

Abstract:

comonotone, Sato process, variance gamma, Markov Martingale, variance swap

32.

Fast Valuation and Calibration of Credit Default Swaps Under Levy Dynamics

Number of pages: 22 Posted: 22 Jun 2010
Delft University of Technology, European Institute for Statistics, Probability, Operations Research and their Applications (EURANDOM), Center for Mathematics and Computer Science (CWI) and KU Leuven - Department of Mathematics
Downloads 113 (177,018)
Citation 1

Abstract:

Levy processes,Credit risk, Default probability, Credit Default Swaps, Fourier-cosine expansion

33.

Implied Liquidity: Model Sensitivity

Number of pages: 32 Posted: 10 Nov 2012
University of Antwerp, KU Leuven - Department of Mathematics and University of Lausanne
Downloads 109 (181,401)

Abstract:

implied liquidity, conic finance, model sensitivity, pre-and post crisis liquidity

A Multivariate Dependence Measure for Aggregating Risks

Number of pages: 16 Posted: 19 Jan 2014
Katholieke Universiteit Leuven - Faculty of Economics and Business, KU Leuven - Department of Applied Economics, KU Leuven - Department of Mathematics and Ghent University-Universiteit Gent - Department of Applied Mathematics and Computer Science
Downloads 61 (288,446)

Abstract:

comonotonic copula, independence, aggregate distribution, concordance order, positive quadrant dependence

A Multivariate Dependence Measure for Aggregating Risks

Number of pages: 14 Posted: 22 Aug 2013
Katholieke Universiteit Leuven - Faculty of Economics and Business, KU Leuven - Department of Applied Economics, KU Leuven - Department of Mathematics and Ghent University-Universiteit Gent - Department of Applied Mathematics and Computer Science
Downloads 37 (360,639)

Abstract:

comonotonic copula, independence, aggregate distribution, concordance order, positive

35.

Structured Products Equilibria in Conic Two Price Markets

Number of pages: 52 Posted: 20 May 2011 Last Revised: 21 Nov 2011
Dilip B. Madan and Wim Schoutens
University of Maryland - Robert H. Smith School of Business and KU Leuven - Department of Mathematics
Downloads 93 (208,007)
Citation 4

Abstract:

36.

Do Not Forget the Cancellation - Marking-to-Market and Hedging LCDX Tranches

Number of pages: 5 Posted: 19 Mar 2009
Péter Dobránszky and Wim Schoutens
BNP Paribas, Risk - Investment & Markets and KU Leuven - Department of Mathematics
Downloads 90 (218,255)

Abstract:

cancellation risk, bullet LCDS, LCDX, tranche pricing, marking-to-market, hedging, one-factor models, base correlation, L¿vy copulas, stochastic recovery

Modeling Risk Weighted Assets and the Risk Sensitivity of Related Capital Requirements

Number of pages: 22 Posted: 18 Mar 2013
Ernst Eberlein, Dilip B. Madan and Wim Schoutens
University of Freiburg, University of Maryland - Robert H. Smith School of Business and KU Leuven - Department of Mathematics
Downloads 88 (232,696)

Abstract:

Modeling Risk-Weighted Assets and the Risk Sensitivity of Related Capital Requirements

Journal of Risk, Vol. 16, No. 2, 2013
Number of pages: 22 Posted: 07 Jun 2016
Ernst Eberlein, Dilip B. Madan and Wim Schoutens
University of Freiburg, University of Maryland - Robert H. Smith School of Business and KU Leuven - Department of Mathematics
Downloads 0

Abstract:

capital requirements, risk-weighted assets

Option Prices and Model-Free Measurement of Implied Herd Behavior in Stock Markets

Number of pages: 32 Posted: 21 Dec 2014
Daniël Linders, Jan Dhaene and Wim Schoutens
KU Leuven - Department of Applied Economics, Katholieke Universiteit Leuven - Faculty of Economics and Business and KU Leuven - Department of Mathematics
Downloads 50 (318,074)

Abstract:

comonotonicity, herd behavior, HIX, index options, market fear, model-free measures, VIX.

Option Prices and Model-Free Measurement of Implied Herd Behavior in Stock Markets

Number of pages: 34 Posted: 15 Mar 2015
Daniël Linders, Jan Dhaene and Wim Schoutens
KU Leuven - Department of Applied Economics, Katholieke Universiteit Leuven - Faculty of Economics and Business and KU Leuven - Department of Mathematics
Downloads 30 (388,574)

Abstract:

comonotonicity, herd behavior, HIX, index options, market fear, model-free measures, VIX

A Framework for Robust Measurement of Implied Correlation

Daniël Linders, Wim Schoutens, 'A framework for robust measurement of implied correlation', Journal of Computational and Applied Mathematics, 271, 39-52.,
Number of pages: 29 Posted: 20 Jan 2014 Last Revised: 23 Apr 2014
Daniël Linders and Wim Schoutens
KU Leuven - Department of Applied Economics and KU Leuven - Department of Mathematics
Downloads 50 (318,074)

Abstract:

Implied correlation estimate, index option, vanilla option, implied volatility, VIX.

A Framework for Robust Measurement of Implied Correlation

Number of pages: 28 Posted: 21 Dec 2013
Daniël Linders and Wim Schoutens
KU Leuven - Department of Applied Economics and KU Leuven - Department of Mathematics
Downloads 25 (412,883)

Abstract:

implied correlation estimate, index option, vanilla option, implied volatility, VIX

40.

Systemic Risk Tradeoffs and Option Prices

Number of pages: 28 Posted: 18 Mar 2013
Dilip B. Madan and Wim Schoutens
University of Maryland - Robert H. Smith School of Business and KU Leuven - Department of Mathematics
Downloads 68 (254,422)

Abstract:

41.

The Impact of a New Coco Issuance on the Price Performance of Outstanding Cocos

Number of pages: 13 Posted: 14 Mar 2015
RiskConcile & KU Leuven, Independent, KU Leuven - Department of Mathematics and KU Leuven - Department of Mathematics
Downloads 62 (166,770)

Abstract:

contingent convertibles, CoCo bonds, new issuance

42.

Two Price Economies in Continuous Time

Number of pages: 31 Posted: 18 Mar 2013
University of Freiburg, University of Maryland - Robert H. Smith School of Business, Imperial College London, KU Leuven - Department of Mathematics and Université Paris VI Pierre et Marie Curie
Downloads 60 (246,825)

Abstract:

43.

Pricing Constant Maturity Credit Default Swaps Under Jump Dynamics

Journal of Credit Risk Vol. 5, No. 1, pp. 1-21, 2009
Number of pages: 26 Posted: 22 Jun 2010
Henrik Jönsson and Wim Schoutens
European Institute for Statistics, Probability, Operations Research and their Applications (EURANDOM) and KU Leuven - Department of Mathematics
Downloads 59 (284,767)
Citation 2

Abstract:

Single sided Levy processes, Structural models, Credit risk, Default probability, Constant Maturity Credit Default Swaps, Monte Carlo methods

44.

Single Name Credit Default Swaptions Meet Single Sided Jump Models

Review of Derivatives Research, Vol. 11, No. 1, 2008
Number of pages: 18 Posted: 22 Jun 2010
Henrik Jönsson and Wim Schoutens
European Institute for Statistics, Probability, Operations Research and their Applications (EURANDOM) and KU Leuven - Department of Mathematics
Downloads 52 (299,433)
Citation 2

Abstract:

Single sided Levy processes, Structural models, Credit risk, Default probability, Credit Default Swaptions, Option pricing

45.

The Relationship between Risk-Neutral and Actual Default Probabilities: The Credit Risk Premium

Number of pages: 19 Posted: 08 Jul 2015 Last Revised: 10 Feb 2017
Joint Research Center of the European Commission, European Commission Joint Research Center, KU Leuven - Department of Mathematics and University of Antwerp - Department of Accounting & Finance
Downloads 48 (119,161)

Abstract:

Risk-Neutral, Probability of Default (PD), Credit Risk Premium, Real Economic Value (REV), Coverage Ratio

46.

CoCos with Extension Risk: A Structural Approach

Number of pages: 17 Posted: 20 Dec 2014
University of Barcelona, Getulio Vargas Foundation, KU Leuven - Department of Mathematics and University of Barcelona
Downloads 46 (258,421)

Abstract:

Contingent convertibles, extension rsk, call date

47.

A Bootstrapping Market Implied Moment Matching Calibration for Models with Time-Dependent Parameters

Number of pages: 23 Posted: 24 Apr 2013
Florence Guillaume and Wim Schoutens
University of Antwerp and KU Leuven - Department of Mathematics
Downloads 32 (346,170)

Abstract:

48.

Are Banks Now Safer? What Can We Learn from the CoCo Markets?

Number of pages: 6 Posted: 21 Aug 2015
Jan De Spiegeleer, Stephan Höcht and Wim Schoutens
RiskConcile & KU Leuven, Independent and KU Leuven - Department of Mathematics
Downloads 29 (194,564)

Abstract:

49.

Hedging Insurance Books

Robert H. Smith School Research Paper No. RHS 2635602
Number of pages: 23 Posted: 26 Jul 2015
University of Maryland - Robert H. Smith School of Business, New York University (NYU) - Courant Institute of Mathematical Sciences, KU Leuven - Department of Mathematics and Independent
Downloads 25 (250,543)

Abstract:

Acceptable Risks, Probability Distortions, Variance Gamma Model

50.

Sense and Sensitivity: An Input Space Odyssey for ABS Ratings

Number of pages: 36 Posted: 13 Dec 2012
Joint Research Centre, Italy, European Commission - Joint Research Centre, Europoean Commission - Joint Reserach Centre and KU Leuven - Department of Mathematics
Downloads 22 (410,767)

Abstract:

G21, G13, C15, C00

51.

Dynamic Conic Hedging for Competitiveness

Robert H. Smith School Research Paper No. RHS 2635600
Number of pages: 60 Posted: 25 Jul 2015
Dilip B. Madan, Martijn Pistorius and Wim Schoutens
University of Maryland - Robert H. Smith School of Business, Imperial College London and KU Leuven - Department of Mathematics
Downloads 21 (284,767)

Abstract:

Static and Semi Static Hedging, Nonlinear Expectation, Variance Gamma Model, Distorted Expectation

52.

On the (In-)Dependence between Financial and Actuarial Risks

Insurance: Mathematics and Economics, Vol. 52, No. 3, 2013
Number of pages: 23 Posted: 04 Sep 2014
Katholieke Universiteit Leuven - Faculty of Economics and Business, Taras Shevchenko National University of Kyiv, Collegio Carlo Alberto, KU Leuven - Department of Mathematics and KU Leuven - Faculty of Business and Economics (FEB)
Downloads 10 (420,870)
Citation 1

Abstract:

Independence, real-world probability measure, risk-neutral probability measure, financial risks, actuarial risks, insurance securitization

53.

Multiple Trigger CoCos: Contingent Debt Without Death Spiral Risk

Financial Markets, Institutions & Instruments, Vol. 22, Issue 2, pp. 129-141, 2013
Number of pages: 13 Posted: 20 Apr 2013
Jan De Spiegeleer and Wim Schoutens
RiskConcile & KU Leuven and KU Leuven - Department of Mathematics
Downloads 1 (522,708)

Abstract:

54.

Simple Processes and the Pricing and Hedging of Cliquets

Mathematical Finance, Vol. 23, Issue 1, pp. 198-216, 2013
Number of pages: 19 Posted: 10 Jan 2013
Dilip B. Madan and Wim Schoutens
University of Maryland and KU Leuven - Department of Mathematics
Downloads 1 (522,708)
Citation 1

Abstract:

Levy process, Sato process, pricing to acceptability

55.

Contingent Capital: An In‐Depth Discussion

Economic Notes, Vol. 41, Issue 1‐2, pp. 59-79, 2012,
Number of pages: 21 Posted: 19 Jul 2012
Stan Maes and Wim Schoutens
affiliation not provided to SSRN and KU Leuven - Department of Mathematics
Downloads 1 (522,708)
Citation 5

Abstract:

56.

Conic Asset Pricing and the Costs of Price Fluctuations

Number of pages: 34 Posted: 23 Feb 2017
Dilip B. Madan and Wim Schoutens
University of Maryland - Robert H. Smith School of Business and KU Leuven - Department of Mathematics
Downloads 0 (461,702)

Abstract:

Probability Distortion, Measure Distortion, Self Decomposable Law, Variance Gamma Model

57.

European Banks' Implied Recovery Rates

Number of pages: 30 Posted: 02 Feb 2017 Last Revised: 27 Feb 2017
Joint Research Center of the European Commission, European Commission Joint Research Center, KU Leuven - Department of Mathematics and University of Antwerp - Department of Accounting & Finance
Downloads 0 (456,539)

Abstract:

Implied recovery rate, Absolute priority rule violation, Debt pricing, Recovery risk, Credit derivatives

58.

Nuclear Cocos

Number of pages: 9 Posted: 01 Feb 2017
Wim Schoutens
KU Leuven - Department of Mathematics
Downloads 0 (441,311)

Abstract:

Contingent Capital, CoCo bonds, tail risk

59.

Is the Capital Structure Logic of Corporate Finance Applicable to Insurers? Review and Analysis

Journal of Economic Surveys, Vol. 31, Issue 1, pp. 169-189, 2017
Number of pages: 21 Posted: 29 Jan 2017
Katholieke Universiteit Leuven - Faculty of Economics and Business, KU Leuven - Department of Applied Economics, KU Leuven - University of Leuven, KU Leuven and KU Leuven - Department of Mathematics
Downloads 0 (532,720)

Abstract:

Capital structure, Insurance, Pecking order theory, Trade‐off theory

60.

Conic Trading in Markovian Steady State

Robert H. Smith School Research Paper No. RHS 2732826
Number of pages: 22 Posted: 15 Feb 2016 Last Revised: 25 May 2016
Dilip B. Madan, Martijn Pistorius and Wim Schoutens
University of Maryland - Robert H. Smith School of Business, Imperial College London and KU Leuven - Department of Mathematics
Downloads 0 (241,213)

Abstract:

non-additive probability; acceptable risks; nonlinear martingales; nonlinear expectation; measure distortions

61.

Conic CVA and DVA

Robert H. Smith School Research Paper No. RHS 2715403
Number of pages: 17 Posted: 15 Jan 2016
Dilip B. Madan and Wim Schoutens
University of Maryland - Robert H. Smith School of Business and KU Leuven - Department of Mathematics
Downloads 0 (135,380)

Abstract:

CVA, DVA, conic finance, bid and ask pricing

62.

Asset Backed Securities: Risks, Ratings and Quantitative Modelling

Posted: 22 Jun 2010
Henrik Jönsson and Wim Schoutens
European Institute for Statistics, Probability, Operations Research and their Applications (EURANDOM) and KU Leuven - Department of Mathematics

Abstract:

Structured Finance, Asset-Backed Securities, Rating, Default Models, Prepayment Models

63.

Pricing and Hedging of CDO-Squared Tranches by Using a One Factor Levy Model

International Journal of Theoretical and Applied Finance, Vol. 12, No. 5, pp. 663-685, 2009
Posted: 25 Apr 2010
Florence Guillaume and Wim Schoutens
University of Antwerp and KU Leuven - Department of Mathematics

Abstract:

Credit risk, CDOs-squared, collateralized debt obligations, correlation, copula, hedging