Department of Mathematical Stochastics
University of Freiburg
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Options on Realized Variance, Forward Starts, Ziggurat for Levy Processes
Concave Distortions, Acceptable Cash Flows, Skewness and Kurtosis
Concave Distortions, Liability Pricing, Bid and Ask Prices
Dependence Modeling, Levy Copulas, Multivariate Subordination, Long-Short vs. Long only Portfolios, Variance Gamma, Time Changed Brownian Motion
Conic Finance, Bid and Ask Prices, Sato Process, Weibull Distribution
Concave Distortions, Spread Options, Correlated Levy Processes
self similarity, independent increments, term structure of moments
This is a Risk Journals paper. Risk Journals charges $73.00 .
File name: SSRN-id2790899.
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capital requirements, risk-weighted assets
first passage times, Merton compound option model, spectrally negative process
U-shaped measure change, Spectrally Negative Process, Scale Functions
collateralized debt obligations, loss process, single tranche CDO, top-down model, market model, time-inhomogeneous Levy processes, Libor rate, forward measure, affine processes, extended Kalman filter, iTraxx
Correlated Gamma Processes, Distorted Expectations, Conic Portfolio Theory
This is a Wiley-Blackwell Publishing paper. Wiley-Blackwell Publishing charges $38.00 .
File name: mafi.
File name: j-9965.
credit risk, ratings, time‐inhomogeneous Lévy process, Libor, conditional Markov chain
Sharpe ratios, investment alphas, skewness, kurtosis in returns
Lévy term structure model, Eberlein and Raible (1999), time-inhomogeneous Lévy processes, Time-inhomogeneity, caps, floors, bilateral Laplace, swaptions
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