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Results 161-170 of 188
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Issue DateTitleAuthor(s)
-Bilateral counterparty risk valuation for interest-rate products: impact of volatilities and correlationsBrigo, D; Pallavicini, A; Papatheodorou, V
-Collateral Margining in Arbitrage-Free Counterparty Valuation Adjustment including Re-Hypotecation and NettingBrigo, D; Capponi, A; Pallavicini, A; Papatheodorou, V
-Default correlation, cluster dynamics and single names: The GPCL dynamical loss modelBrigo, D; Pallavicini, A; Torresetti, R
4-May-2016Two examples of non strictly convex large deviationsDe Marco, S; Jacquier, A; Roome, P; Engineering & Physical Science Research Council (EPSRC)
1-Apr-2019Dimension walks on Sd×RBingham, NH; Symons, TL
8-Apr-2009Informed tradersBrody, DC; Davis, MHA; Friedman, RL; Hughston, LP
25-Aug-2017On VIX Futures in the rough Bergomi modelJacquier, A; Aitor Muguruza, AM; Claude Martini, CM; Engineering & Physical Science Research Council (EPSRC)
31-Dec-2017On VIX Futures in the Rough Bergomi ModelJacquier, A; Muguruza, A; Engineering & Physical Science Research Council (EPSRC)
2-Aug-2016On a class of dependent Sparre Andersen risk models and a bailout applicationAvram, F; Badescu, AL; Pistorius, MR; Rabehasaina, L
1-Mar-2019Optimal investment of DC pension plan under short-selling constraints and portfolio insuranceDong, Y; Zheng, H