Technical Reports 2011

 

11:01.T. Milenkovic, V. Memisevic, A. Bonato, and N. Przulj.. Topological domination captures key biological processes in molecular networks

11:02. M. Escobar, T. Friederich, M. Krayzler, L. Seco, R. Zagst. Structural Credit Modeling under Stochastic Volatility.

11:03. M. Escobar, P. Hieber, M. Scherer and L. Seco. Portfolio optimization in a multidimensional structural default model with a focus on private equity.

11:04. B. Goetz, M. Escobar, R. Zagst. Closed form pricing of two-asset barrier options with stochastic covariance..

11:05. . Goetz, M. Escobar, R. Zagst. Two asset-barrier option within stochastic volatility models.

11:06. M. Escobar, S. Ferrando, X. Wen.. Three Dimensional Distribution of Brownian Motion Extrema.

11:07. S. Hross, P. Olivares, R. Zagst.. Tail approximation in credit portfolios using Large Deviations techniques.

11:08. J. Mai, P. Olivares, S. Schenk and S. Scherer.. A multivariate default model with spread and event risk.

11:09. M. Cane and P. Olivares.. Pricing Spread Options under Stochastic Correlation and Levy Jump-Diffusion Models by Fast Fourier Transform.

11:10. A. Reuss, P. Olivares, L. Seco and  R. Zagst.. Risk management and portfolio selection using alpha-stable regime switching models.

 


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