Economy – Quantitative Finance – Pricing of Securities
Scientist
Economy
Quantitative Finance
Pricing of Securities
Scientist
Bilateral counterparty risk valuation for interest-rate products: impact of volatilities and correlations
Collateral Margining in Arbitrage-Free Counterparty Valuation Adjustment including Re-Hypotecation and Netting
Credit models and the crisis, or: how I learned to stop worrying and love the CDOs
Default correlation, cluster dynamics and single names: The GPCL dynamical loss model
Drag on a satellite moving across a spherical galaxy. I. Tidal and frictional forces in shortlived encounters
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