De Corridor 5
Breukelen, 3621ZA
Netherlands
http://https://fsquaredquant.nl/
Stevinweg 1
Delft, 2628 CN
FF Quant Advisory
Delft University of Technology
SSRN RANKINGS
in Total Papers Citations
Option pricing , Bermudan options, American options, convolution, Lévy processes, Fast Fourier Transform
credit portfolio loss, factor copula models, Euler allocation, Value-at-Risk, expected shortfall, Fourier-cosine method, Gibbs phenomenon
Levy processes,Credit risk, Default probability, Credit Default Swaps, Fourier-cosine expansion
Potential Future Exposure, XVA, Expected Exposure, Fourier-cosine Series Expansion, Fourier-sine Series Expansion, the COS Method, Counterparty Credit Risk