Frontiers in Quantitative Finance
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Published By John Wiley & Sons, Inc.

9781118266915, 9780470292921

Latest Documents Most Cited Documents Contributed Authors Related Sources Related Keywords

Pricing, Hedging, and Calibration in Jump-Diffusion Models

Frontiers in Quantitative Finance ◽

10.1002/9781118266915.ch5 ◽

2012 ◽

pp. 129-160 ◽

Author(s):

Peter Tankov ◽

Ekaterina Voltchkova

Keyword(s):

Jump Diffusion ◽

Diffusion Models

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Portfolio Credit Risk: Top-Down versus Bottom-Up Approaches

Frontiers in Quantitative Finance ◽

10.1002/9781118266915.ch10 ◽

2012 ◽

pp. 251-267 ◽

Author(s):

Kay Giesecke

Keyword(s):

Credit Risk ◽

Top Down ◽

Bottom Up ◽

Portfolio Credit Risk

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On Black-Scholes Implied Volatility at Extreme Strikes

Frontiers in Quantitative Finance ◽

10.1002/9781118266915.ch2 ◽

2012 ◽

pp. 19-45 ◽

Author(s):

Shalom Benaim ◽

Peter Friz ◽

Roger Lee

Keyword(s):

Implied Volatility ◽

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A Geometric Approach to the Asymptotics of Implied Volatility

Frontiers in Quantitative Finance ◽

10.1002/9781118266915.ch4 ◽

2012 ◽

pp. 89-127

Author(s):

Pierre Henry-Labord`re

Keyword(s):

Implied Volatility ◽

Geometric Approach

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Index

Frontiers in Quantitative Finance ◽

10.1002/9781118266915.index ◽

2012 ◽

pp. 295-299

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Pricing CDOs with a Smile: The Local Correlation Model

Frontiers in Quantitative Finance ◽

10.1002/9781118266915.ch9 ◽

2012 ◽

pp. 235-250

Author(s):

Julien Turc ◽

Philippe Very

Keyword(s):

Correlation Model ◽

Local Correlation

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Front Matter

Frontiers in Quantitative Finance ◽

10.1002/9781118266915.fmatter ◽

2012 ◽

pp. i-xvii

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Factor Distributions Implied by Quoted CDO Spreads

Frontiers in Quantitative Finance ◽

10.1002/9781118266915.ch8 ◽

2012 ◽

pp. 217-234

Author(s):

Erik Schlögl ◽

Lutz Schlögl

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An Overview of Factor Modeling for CDO Pricing

Frontiers in Quantitative Finance ◽

10.1002/9781118266915.ch7 ◽

2012 ◽

pp. 185-216 ◽

Author(s):

Jean-Paul Laurent ◽

Areski Cousin

Keyword(s):

Cdo Pricing ◽

Factor Modeling

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Forward Equations for Portfolio Credit Derivatives

Frontiers in Quantitative Finance ◽

10.1002/9781118266915.ch11 ◽

2012 ◽

pp. 269-293 ◽

Author(s):

Rama Cont ◽

Ioana Savescu

Keyword(s):

Credit Derivatives ◽

Forward Equations ◽

Portfolio Credit Derivatives

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