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A BNS-type stochastic volatility model with two-sided jumps, with applications to FX options pricing
Free accessBASE | 2016| -
Exogenous shock models: Analytical characterization and probabilistic construction
Free accessBASE | 2019| -
Simulating Lévy-frailty copulas built from alpha-stable Lévy-subordinators
Free accessBASE | 2017| -
Extendibility of Marshall-Olkin distributions and inverse Pascal triangles
Free accessBASE | 2016| -
A note on the valuation of CDS options and extension risk in a structural model with jumps
Free accessBASE | 2017| -
Pricing and hedging CDO tranches using latent one-factor models: An empirical study
Free accessBASE | 2016|
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