Wim Schoutens

KU Leuven - Department of Mathematics

Celestijnenlaan 200 B

Leuven, B-3001

Belgium

SCHOLARLY PAPERS

74

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83

CROSSREF CITATIONS

117

Scholarly Papers (74)

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 1,419 (13,469)
Citation 3

Abstract:

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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 893 (26,941)
Citation 4

Abstract:

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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 646 (41,443)
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 185 (171,037)

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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 740 (34,990)
Citation 1

Abstract:

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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 695 (38,060)
Citation 2

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

6.

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 603 (46,061)
Citation 12

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Contingent Capital, Moral Hazard, Financial Regulation

7.

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 584 (48,032)
Citation 2

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

8.

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 411 (74,264)
Citation 1

Abstract:

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Heston model, Starting values, Variance term structure matching

9.

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 402 (76,171)
Citation 8

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

10.

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 393 (78,118)
Citation 4

Abstract:

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

11.
Downloads 389 ( 79,068)
Citation 6

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 326 (96,147)
Citation 4

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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 63 (369,215)
Citation 4

Abstract:

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12.

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 385 (80,005)
Citation 6

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Liquidity, bid-ask pricing, conic finance

13.

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 362 (85,986)
Citation 1

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

14.

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 348 (90,012)
Citation 7

Abstract:

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15.

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 341 (92,079)
Citation 5

Abstract:

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exceedances, extreme value theory, heavy tails, maxima

16.

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 340 (92,354)
Citation 1

Abstract:

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

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 321 (98,422)
Citation 4

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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 280 (114,164)
Citation 3

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

19.

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 265 (120,901)
Citation 1

Abstract:

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Contingent Capital, CoCo, Death Spiral

20.

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 264 (121,380)
Citation 9

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Default Probabilities, Levy Models, CDS pricing

21.

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 257 (124,932)
Citation 3

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

22.

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 240 (133,859)

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calibration, moment matching, exponential Levy models

23.

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 231 (138,984)

Abstract:

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

24.

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 226 (141,927)
Citation 1

Abstract:

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

25.

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 215 (148,822)
Citation 4

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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

26.

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 214 (149,502)

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CVA, DVA, conic finance, bid and ask pricing

27.

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 206 (154,970)
Citation 5

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

28.

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 201 (158,556)
Citation 1

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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
University of Illinois and KU Leuven - Department of Mathematics
Downloads 194 (163,888)
Citation 4

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

30.

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 185 (171,099)

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CPPI, Levy, Variance Gamma, CDO, Credit Derivatives

31.

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 185 (171,099)

Abstract:

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

32.

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 184 (172,814)

Abstract:

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cryptocurrency, bitcoin, modelling, calibration

33.

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 175 (179,780)
Citation 1

Abstract:

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

34.

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 157 (197,325)
Citation 1

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35.

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 151 (203,894)
Citation 4

Abstract:

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

36.

Implied Liquidity: Model Sensitivity

Number of pages: 32 Posted: 10 Nov 2012
Independent, KU Leuven - Department of Mathematics and University of Lausanne
Downloads 142 (214,410)
Citation 2

Abstract:

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

37.

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 129 (231,263)

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Acceptable Risks, Probability Distortions, Variance Gamma Model

38.

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 115 (253,462)

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green bonds, reverse green bonds, sustainable investing

39.

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 115 (251,945)
Citation 5

Abstract:

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40.

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 112 (256,668)
Citation 2

Abstract:

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Contingent convertibles, extension rsk, call date

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 71 (345,907)
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 41 (449,207)

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

42.

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 109 (261,597)
Citation 1

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

43.

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 104 (270,330)
Citation 3

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

44.

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 104 (270,330)

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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

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 103 (273,839)
Citation 1

Abstract:

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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

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 (372,325)

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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 38 (462,639)
Citation 1

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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
University of Illinois and KU Leuven - Department of Mathematics
Downloads 73 (340,440)
Citation 4

Abstract:

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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 26 (525,633)
Citation 1

Abstract:

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

48.

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 Padova and KU Leuven - Department of Mathematics
Downloads 95 (287,177)

Abstract:

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

49.

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 91 (295,197)
Citation 6

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

50.

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 90 (297,203)
Citation 1

Abstract:

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51.

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 89 (299,304)
Citation 4

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

52.

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 83 (312,593)
Citation 1

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

53.

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 83 (312,593)
Citation 2

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54.

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 81 (317,154)
Citation 2

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

55.

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 71 (341,952)

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Bilateral Gamma Process, Minmaxvar Distortion, Conic Portfolio Theory

56.

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 71 (341,952)

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

57.

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 68 (350,156)

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

58.

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 62 (367,364)

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

59.

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 60 (373,427)

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

60.

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 59 (376,496)
Citation 1

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

61.

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 55 (389,414)

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62.

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 51 (402,837)
Citation 2

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

63.

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 36 (461,073)

Abstract:

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CPPI, Conic Finance, Trading Strategy, distorted expectations

64.

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 30 (489,055)

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G21, G13, C15, C00

65.

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

66.

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
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67.

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
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Levy process, Sato process, pricing to acceptability

68.

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
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69.

Pricing Contingent Convertibles: A Derivatives Approach

Posted: 20 May 2019
Jan De Spiegeleer and Wim Schoutens
RiskConcile and KU Leuven - Department of Mathematics
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Citation 8

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CoCos, Contingent, Capital, Derivatives

70.

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
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71.

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

72.

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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73.

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

74.

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