Sonnemannstraße 9-11
Frankfurt am Main, 60314
Germany
Frankfurt School of Finance & Management
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interest rate swap, cross currency swap, basis spread
Loss given default, Basel accord, economic downturn
interest rate options, convexity, quanto adjustment, change
Correlation, Volatility, Basel III, GARCH Models
interest rate options, volatility smile, convexity, option
Market risk measurement; Model risk measurement; Contingent claim pricing; Robust representation; Bayesian analysis; DCC-GARCH
Monte Carlo simulation, variance reduction, Latin hypercube sampling, stratified sampling
correlation, contagion, diversification, exceedance correlation, GARCH models, stochastic delay equations
counterparty default, credit valuation adjustment (CVA), debt valuation adjustment (DVA), wrong way risk, correlation
Correlation, Fama-French factors, Momentum
gap risk, credit spreads, credit dynamics, first passage time models, stochastic volatility, general Ornstein-Uhlenbeck processes
credit default, structural model, credit default swap, hyper-exponential jump diffusion, spectrally negative Kou process, entropy-based calibration
gap risk, credit spreads, credit dynamics, first passage time models, Levy processes, general Ornstein-Uhlenbeck process
correlation, volatility, Basel III, GARCH models
interest rate modelling, volatility smile/skew, Libor market model, Markov functional model, potential future exposure, counterparty default
static hedging, Levy processes, additive processes
Markov process, copula, Chapman-Kolmogorov equation
