Florian Huehne

affiliation not provided to SSRN

SCHOLARLY PAPERS

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Scholarly Papers (2)

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1.

Malliavin Calculus for the Computation of Greeks in Markets Driven by Pure-Jump Levy Processes

Number of pages: 16 Posted: 30 Nov 2006
Florian Huehne
affiliation not provided to SSRN
Downloads 344 (161,210)
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Monte-Carlo method, pure jump Levy-process, functional derivatives, Malliavin Calculus, Chaos Expansion, Skorohod Integral

2.

Defaultable Levy Libor Rates and Credit Derivatives

International Journal of Theoretical and Applied Finance, May 2007
Number of pages: 26 Posted: 30 Nov 2006
Florian Huehne
affiliation not provided to SSRN
Downloads 234 (239,318)

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Market model, Libor rates,intensity based model, Levy-process, default risk, credit default swap