FS
2010
13 years 8 months ago
2010
Extreme losses of portfolios with heavy-tailed components are studied in the framework of multivariate regular variation. Asymptotic distributions of extreme portfolio losses are ...
FS
2010
13 years 10 months ago
2010
This note explores the analogy between the dynamics of the interest rate term structure and the implied volatility surface of a stock. In particular, we prove an impossibility theo...
FS
2010
13 years 10 months ago
2010
This paper considers a general reduced form pricing model for credit derivatives where default intensities are driven by some factor process X. The process X is not directly observ...
FS
2010
13 years 10 months ago
2010
Following the framework of C¸etin, Jarrow and Protter [4] we study the problem of super-replication in presence of liquidity costs under additional restrictions on the gamma of th...
FS
2010
13 years 10 months ago
2010
FS
2010
13 years 10 months ago
2010
We find robust model-free hedges and price bounds for options on the realized variance of [the returns on] an underlying price process. Assuming only that the underlying process ...
FS
2010
13 years 10 months ago
2010
Portfolio credit risk models as well as models for operational risk can often be treated analogously to the collective risk model coming from insurance. Applying the classical Panj...
FS
2010
13 years 10 months ago
2010
FS
2010
13 years 10 months ago
2010
FS
2010
13 years 10 months ago
2010
