Johan G. B. Beumee

affiliation not provided to SSRN

SCHOLARLY PAPERS

5

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1,118

CITATIONS
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6

Scholarly Papers (5)

1.

Charting a Course through the CDS Big Bang

Number of pages: 15 Posted: 09 Apr 2009 Last Revised: 02 Oct 2009
Johan G. B. Beumee, Damiano Brigo, Daniel Schiemert and Gareth Stoyle
affiliation not provided to SSRN, Imperial College London - Department of Mathematics, affiliation not provided to SSRN and affiliation not provided to SSRN
Downloads 896 (25,054)
Citation 6

Abstract:

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Credit Default Swap, Upfront Credit Default Swap, Running Credit Default Swap, Hazard Rates, Conversion Running Upfront

2.

Generating Correlated Realizations Without Matrix Decomposition

Number of pages: 8 Posted: 12 Apr 2011 Last Revised: 23 May 2014
Johan G. B. Beumee
affiliation not provided to SSRN
Downloads 88 (284,130)

Abstract:

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counterparty credit risk, Monte Carlo simulation, CVA, EPE, EE, EC

3.

Pricing and Hedging Options on Defaultable Assets

Number of pages: 26 Posted: 04 Oct 2006
Johan G. B. Beumee and Michel Vellekoop
affiliation not provided to SSRN and University of Twente - Department of Applied Mathematics
Downloads 77 (308,002)

Abstract:

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Hedging, Default, Jump-Diffusion

4.

Energy and Momentum Conservation for Diffusion - a Stochastic Mechanics Approximation - Part I

Number of pages: 68 Posted: 04 Oct 2006
Johan G. B. Beumee
affiliation not provided to SSRN
Downloads 32 (451,764)

Abstract:

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stochastic process, heatbath, diffusion

5.

Path Diffusion, Part I

Number of pages: 28 Posted: 24 May 2014
affiliation not provided to SSRN, Independent, Independent and Independent
Downloads 25 (486,616)

Abstract:

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Markov Process, Velocit Convexity Equation, Telegraph Equation, Klein-Gordon Equation, Newston's Equation