Wim Schoutens

KU Leuven - Department of Mathematics

Celestijnenlaan 200 B

Leuven, B-3001

Belgium

SCHOLARLY PAPERS

81

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135

CROSSREF CITATIONS

120

Scholarly Papers (81)

1.

Machine Learning for Quantitative Finance: Fast Derivative Pricing, Hedging and Fitting

Number of pages: 15 Posted: 20 Jun 2018
RiskConcile, University of Maryland - Robert H. Smith School of Business, KU Leuven - Department of Mathematics and KU Leuven - Department of Mathematics
Downloads 2,326 (9,001)
Citation 10

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Machine learning, Derivatives, Hedging, Implied volatility

2.

CoCo Bonds with Extension Risk

Number of pages: 33 Posted: 05 Feb 2014
Jan De Spiegeleer and Wim Schoutens
RiskConcile and KU Leuven - Department of Mathematics
Downloads 973 (34,163)
Citation 2

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

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, University of Illinois, KU Leuven - Department of Mathematics and Ghent University - Department of Applied Mathematics and Computer Science
Downloads 669 (55,843)
Citation 8

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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, University of Illinois, KU Leuven - Department of Mathematics and Ghent University - Department of Applied Mathematics and Computer Science
Downloads 231 (187,813)
Citation 1

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Comonotonicity, systemic risk, correlation, VIX volatility index

4.

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 and KU Leuven - Department of Mathematics
Downloads 802 (44,529)
Citation 2

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G13, G18, G21, C15

5.

CoCo Bonds and Implied CET1 Volatility

Number of pages: 27 Posted: 10 Mar 2015 Last Revised: 18 Dec 2015
RiskConcile, Independent, KU Leuven - Department of Mathematics and KU Leuven - Department of Mathematics
Downloads 745 (49,105)
Citation 2

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

6.

Heston Model: The Variance Swap Calibration

Number of pages: 15 Posted: 24 Apr 2013
Florence Guillaume and Wim Schoutens
Independent and KU Leuven - Department of Mathematics
Downloads 645 (59,308)
Citation 1

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Heston model, Starting values, Variance term structure matching

7.

Contingent Capital: An In-Depth Discussion

Number of pages: 23 Posted: 06 Aug 2010 Last Revised: 28 Aug 2010
Stan Maes, Stan Maes and Wim Schoutens
European Commission - DG Internal market and financial servicesEuropean Commission - DG Competition and KU Leuven - Department of Mathematics
Downloads 636 (60,400)
Citation 12

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Contingent Capital, Moral Hazard, Financial Regulation

8.

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 Finance and Risk Engineering and KU Leuven - Department of Mathematics
Downloads 608 (63,983)
Citation 2

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

9.

Efficient Pricing of Contingent Convertibles Under Smile Conform Models

Number of pages: 13 Posted: 05 Nov 2011
University of Barcelona, RiskConcile, Universidad Autonoma de Madrid, University of Bath, University of Maryland - Robert H. Smith School of Business and KU Leuven - Department of Mathematics
Downloads 426 (98,625)
Citation 5

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

10.

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, Joint Research Center of the European Commission, KU Leuven - Department of Mathematics and University of Antwerp - Department of Accounting & Finance
Downloads 425 (98,899)
Citation 2

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

11.

Implied Liquidity - Towards Stochastic Liquidity Modeling and Liquidity Trading

Number of pages: 11 Posted: 14 Feb 2011
University of Barcelona - Faculty of Mathematics, Independent, University of Maryland - Robert H. Smith School of Business and KU Leuven - Department of Mathematics
Downloads 421 (99,982)
Citation 8

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Liquidity, bid-ask pricing, conic finance

12.
Downloads 413 (102,261)
Citation 7

FIX - The Fear Index: Measuring Market Fear

Number of pages: 17 Posted: 18 Jul 2011 Last Revised: 18 Jan 2015
Katholieke Universiteit Leuven, KU Leuven - Faculty of Business and Economics (FEB), KU Leuven - Department of Mathematics, University of Illinois and KU Leuven - Department of Mathematics
Downloads 345 (124,395)
Citation 5

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FIX - The Fear Index: Measuring Market Fear

Number of pages: 18 Posted: 01 Dec 2011
Katholieke Universiteit Leuven, KU Leuven - Faculty of Business and Economics (FEB), KU Leuven - Department of Mathematics, University of Illinois and KU Leuven - Department of Mathematics
Downloads 68 (467,927)
Citation 4

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13.

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 412 (102,564)
Citation 9

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

14.

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 374 (114,499)
Citation 1

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

15.

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 364 (118,078)
Citation 11

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16.

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 363 (118,442)
Citation 5

Abstract:

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exceedances, extreme value theory, heavy tails, maxima

17.

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 340 (127,258)
Citation 5

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Variance Gamma, Local Levy, Barrier Pricing, Sato Process

18.

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 295 (147,745)
Citation 3

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

19.

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 289 (150,946)
Citation 10

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Default Probabilities, Levy Models, CDS pricing

20.

ESG: A New Dimension in Portfolio Allocation

Number of pages: 37 Posted: 02 Dec 2020
RiskConcile, Technische Universität München (TUM), affiliation not provided to SSRN, KU Leuven - Department of Mathematics and KU Leuven - Department of Mathematics
Downloads 284 (154,674)

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ESG, portfolio allocation, investment strategies, ESG ratings, greenhouse gas intensity

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 and KU Leuven - Department of Mathematics
Downloads 284 (153,611)
Citation 1

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Contingent Capital, CoCo, Death Spiral

22.

MaMaMoMaMa: BTC Options

Number of pages: 15 Posted: 09 Oct 2018
Dilip B. Madan, Sofie Reyners and Wim Schoutens
University of Maryland - Robert H. Smith School of Business, KU Leuven - Department of Mathematics and KU Leuven - Department of Mathematics
Downloads 280 (155,780)

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cryptocurrency, bitcoin, modelling, calibration

23.

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 270 (161,748)
Citation 3

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

24.

A Moment Matching Market Implied Calibration

Number of pages: 25 Posted: 15 Mar 2012
Florence Guillaume and Wim Schoutens
Independent and KU Leuven - Department of Mathematics
Downloads 269 (162,351)

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calibration, moment matching, exponential Levy models

25.

Sustainable Capital Instruments and Their Role in Prudential Policy: Reverse Green Bonds.

Number of pages: 17 Posted: 08 Jul 2019
Jan De Spiegeleer and Wim Schoutens
RiskConcile and KU Leuven - Department of Mathematics
Downloads 263 (165,929)
Citation 1

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green bonds, reverse green bonds, sustainable investing

26.

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 246 (177,156)

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

27.

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 231 (188,256)
Citation 1

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

28.

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 228 (190,582)

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CVA, DVA, conic finance, bid and ask pricing

29.

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 220 (197,241)
Citation 5

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

30.

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 219 (198,080)

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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

31.

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 216 (200,582)
Citation 1

Abstract:

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32.

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
University of Illinois and KU Leuven - Department of Mathematics
Downloads 205 (210,524)
Citation 2

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

33.

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 191 (224,202)

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CPPI, Levy, Variance Gamma, CDO, Credit Derivatives

34.

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 188 (227,313)

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

35.

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 187 (228,357)
Citation 2

Abstract:

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

36.

Fast Valuation and Calibration of Credit Default Swaps Under Levy Dynamics

Number of pages: 22 Posted: 22 Jun 2010
FF Quant Advisory, European Institute for Statistics, Probability, Operations Research and their Applications (EURANDOM), Utrecht University - Faculty of Science and KU Leuven - Department of Mathematics
Downloads 169 (249,095)
Citation 4

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

37.

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, Independent and KU Leuven - Department of Mathematics
Downloads 167 (251,486)
Citation 1

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38.

Measuring and Monitoring the Efficiency of Markets

Number of pages: 36 Posted: 22 Jun 2017
Dilip B. Madan, Wim Schoutens and King Wang
University of Maryland - Robert H. Smith School of Business, KU Leuven - Department of Mathematics and Morgan Stanley
Downloads 161 (259,420)
Citation 1

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Acceptable Risks, Distorted Expectations, Bilateral Gamma Model, Escalator Elevator Metric

39.

Implied Liquidity: Model Sensitivity

Number of pages: 32 Posted: 10 Nov 2012
Independent, KU Leuven - Department of Mathematics and University of Lausanne
Downloads 154 (268,945)
Citation 2

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

40.

Hedging Insurance Books

Robert H. Smith School Research Paper No. RHS 2635602, NYU Tandon Research Paper No. 2635602
Number of pages: 23 Posted: 26 Jul 2015
University of Maryland - Robert H. Smith School of Business, New York University Finance and Risk Engineering, KU Leuven - Department of Mathematics and Independent
Downloads 147 (279,248)
Citation 1

Abstract:

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Acceptable Risks, Probability Distortions, Variance Gamma Model

41.

Bilateral Multiple Gamma Returns: Their Risks and Rewards

Number of pages: 26 Posted: 22 Aug 2018 Last Revised: 10 Nov 2018
Dilip B. Madan, Wim Schoutens and King Wang
University of Maryland - Robert H. Smith School of Business, KU Leuven - Department of Mathematics and Morgan Stanley
Downloads 145 (282,305)
Citation 16

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Entropy Maximization, Variance Gamma, Distorted Expectation, Measure Distortion, Skewness Premia

42.

Conic Quantization: Stochastic Volatility and Market Implied Liquidity

Number of pages: 18 Posted: 06 Feb 2019 Last Revised: 29 Oct 2019
Lucio Fiorin and Wim Schoutens
University of Padua and KU Leuven - Department of Mathematics
Downloads 134 (300,186)

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quantization, characteristic function, conic finance, option pricing, stochastic volatility, implied liquidity

43.

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 129 (309,012)
Citation 2

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Contingent convertibles, extension rsk, call date

44.

Selfsimilarity in Long Horizon Asset Returns

Number of pages: 51 Posted: 23 Jan 2018 Last Revised: 13 Aug 2018
Dilip B. Madan and Wim Schoutens
University of Maryland - Robert H. Smith School of Business and KU Leuven - Department of Mathematics
Downloads 128 (310,753)
Citation 3

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Asset Return Modeling, Selfsimilarity and Scaling, Equilibrium Return Distributions, Equity Bias for Horizons, Long Horizon Risk Free Rates

45.

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 126 (314,344)
Citation 5

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46.

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 121 (323,764)
Citation 3

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

A Multivariate Dependence Measure for Aggregating Risks

Number of pages: 16 Posted: 19 Jan 2014
Katholieke Universiteit Leuven, University of Illinois, KU Leuven - Department of Mathematics and Ghent University - Department of Applied Mathematics and Computer Science
Downloads 73 (450,242)
Citation 3

Abstract:

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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, University of Illinois, KU Leuven - Department of Mathematics and Ghent University - Department of Applied Mathematics and Computer Science
Downloads 46 (563,379)

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

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 119 (329,267)
Citation 2

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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
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capital requirements, risk-weighted assets

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
University of Illinois and KU Leuven - Department of Mathematics
Downloads 85 (411,999)
Citation 6

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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
University of Illinois and KU Leuven - Department of Mathematics
Downloads 32 (644,828)

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

50.

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 111 (344,031)

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

51.

Conic Asset Pricing and the Costs of Price Fluctuations

Robert H. Smith School Research Paper No. RHS 2921365
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 110 (346,125)
Citation 6

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

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
University of Illinois, Katholieke Universiteit Leuven and KU Leuven - Department of Mathematics
Downloads 62 (491,141)

Abstract:

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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
University of Illinois, Katholieke Universiteit Leuven and KU Leuven - Department of Mathematics
Downloads 43 (579,072)
Citation 1

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

53.

European Banks' Implied Recovery Rates

Number of pages: 30 Posted: 02 Feb 2017 Last Revised: 06 Mar 2017
Joint Research Center of the European Commission, Joint Research Center of the European Commission, KU Leuven - Department of Mathematics and University of Antwerp - Department of Accounting & Finance
Downloads 99 (371,298)

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

54.

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 97 (376,063)
Citation 2

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55.

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 93 (386,079)
Citation 1

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

56.

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 88 (399,542)
Citation 2

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57.

The Skin-in-the-Game Bond: A Novel Sustainable Capital Instrument

Number of pages: 25 Posted: 23 Apr 2021
KU LeuvenUniversity of Amsterdam, RiskConcile, KU Leuven - Department of Mathematics and KU Leuven - Department of Accounting, Finance and Insurance
Downloads 85 (408,048)

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contingent convertible bond, skin-in-the-game bond, sustainable finance, ESG, sustainable capital instrument

58.

Zero Covariation Returns

Number of pages: 41 Posted: 17 Nov 2017
Dilip B. Madan and Wim Schoutens
University of Maryland - Robert H. Smith School of Business and KU Leuven - Department of Mathematics
Downloads 80 (422,817)
Citation 1

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Bilateral Gamma Process, Minmaxvar Distortion, Conic Portfolio Theory

59.

Equilibrium Asset Returns in Financial Markets

Number of pages: 44 Posted: 13 Mar 2018
Dilip B. Madan and Wim Schoutens
University of Maryland - Robert H. Smith School of Business and KU Leuven - Department of Mathematics
Downloads 79 (425,931)
Citation 3

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Bilateral Gamma, Power Variation, Support Vector Machine Regression, Acceptability Index

60.

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 79 (425,931)

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

61.

Financial Buffers for Climate and Environmental Risks: Nuclear CoCos and Climate CoCos

Number of pages: 9 Posted: 01 Feb 2017 Last Revised: 07 Dec 2018
Wim Schoutens
KU Leuven - Department of Mathematics
Downloads 68 (461,997)

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Contingent Capital, CoCo bonds, tail risk, climate risk, financial resilience, sustainability

62.

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 65 (472,802)

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

63.

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
Independent and KU Leuven - Department of Mathematics
Downloads 64 (476,545)

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64.

It Takes Two to Tango: Estimation of the Zero-Risk Premium Strike of a Call Option Via Joint Physical and Pricing Density Modeling

Number of pages: 19 Posted: 27 Apr 2021 Last Revised: 17 Sep 2021
Technische Universität München (TUM), University of Maryland - Robert H. Smith School of Business, KU Leuven - Department of Mathematics and KU Leuven - Department of Accounting, Finance and Insurance
Downloads 58 (499,836)

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Pricing density, Physical density, Stock models, Bilateral Gamma, Tilted Bilateral Gamma, Calibration, Risk premium, Call options, S\&P500, DAX

65.

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, Taras Shevchenko National University of Kyiv, Collegio Carlo Alberto, KU Leuven - Department of Mathematics and KU Leuven - Faculty of Business and Economics (FEB)
Downloads 53 (520,729)
Citation 2

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

66.

Conic CPPIs

Number of pages: 21 Posted: 05 Sep 2017
Ine Marquet and Wim Schoutens
KU Leuven - Department of Mathematics and KU Leuven - Department of Mathematics
Downloads 49 (538,576)

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CPPI, Conic Finance, Trading Strategy, distorted expectations

67.

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 40 (583,056)

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G21, G13, C15, C00

68.

Risk Conscious Investment

Number of pages: 37 Posted: 30 Aug 2022 Last Revised: 02 Sep 2022
Dilip B. Madan, Wim Schoutens and King Wang
University of Maryland - Robert H. Smith School of Business, KU Leuven - Department of Mathematics and Morgan Stanley
Downloads 24 (684,547)

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Probability Distortions, Measure Distortions, Gaussian Process Regression, Quantization, Acceptable Risk, Acceptability Index.

69.

Option Returns

Number of pages: 26 Posted: 04 Aug 2022 Last Revised: 25 Aug 2022
Dilip B. Madan, Wim Schoutens and King Wang
University of Maryland - Robert H. Smith School of Business, KU Leuven - Department of Mathematics and Morgan Stanley
Downloads 10 (807,824)

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Measure Distortions, Backward Stochastic Partial Integro-Differential Equations, Bilateral Gamma Process, Risk Exposures, Risk Charges

70.

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 and KU Leuven - Department of Mathematics
Downloads 6 (850,688)

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71.

Self‐Similarity in Long‐Horizon Returns

Mathematical Finance, Vol. 30, Issue 4, pp. 1368-1391, 2020
Number of pages: 24 Posted: 07 Oct 2020
Dilip B. Madan and Wim Schoutens
University of Maryland - Robert H. Smith School of Business and KU Leuven - Department of Mathematics
Downloads 3 (887,117)
Citation 6

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asset return modeling, equity bias for longer horizons, self‐similarity and scaling

72.

Gradient Boosting for Quantitative Finance

Journal of Computational Finance, Vol. 24, No. 4, 2020
Number of pages: 40 Posted: 30 Apr 2021
KU Leuven, KU Leuven, KU Leuven - Department of Mathematics and KU Leuven - Department of Mathematics
Downloads 2 (900,848)
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machine learning; regression trees; derivatives pricing; exotic options; computation time

73.

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 2 (900,848)
Citation 1

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Levy process, Sato process, pricing to acceptability

74.

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 2 (900,848)
Citation 1

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75.

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, KU Leuven - Department of Applied Economics, KU Leuven - University of Leuven, KU Leuven and KU Leuven - Department of Mathematics
Downloads 1 (915,413)
Citation 1

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

76.

Pricing Contingent Convertibles: A Derivatives Approach

Posted: 20 May 2019
Jan De Spiegeleer and Wim Schoutens
RiskConcile and KU Leuven - Department of Mathematics
Downloads 0 (930,918)
Citation 8

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CoCos, Contingent, Capital, Derivatives

77.

Conic Option Pricing

Posted: 20 May 2019
Dilip B. Madan and Wim Schoutens
University of Maryland - Robert H. Smith School of Business and KU Leuven - Department of Mathematics
Downloads 0 (930,918)

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78.

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

Posted: 14 Mar 2015
RiskConcile, Independent, KU Leuven - Department of Mathematics and KU Leuven - Department of Mathematics

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contingent convertibles, CoCo bonds, new issuance

79.

The Impact of Skew on the Pricing of Coco Bonds

Posted: 01 Apr 2014
RiskConcile, KU Leuven - Department of Mathematics, KU Leuven - Department of Mathematics and KU Leuven - Department of Mathematics

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80.

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

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

81.

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
Independent and KU Leuven - Department of Mathematics

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