CPQF Working Paper Series, Frankfurt School of Finance and Management

Collection's Items (Sorted by Title in Descending order): 1 to 20 of 33
Year of PublicationTitleAuthor(s)
2012 Size matters! How position sizing determines risk and return of technical timing strategiesScholz, Peter
2012 Volatilität als Investment: Diversifikationseigenschaften von VolatilitätsstrategienDetering, Nils; Zhou, Qixiang; Wystup, Uwe
2012 The impact of network inhomogeneities on contagion and system stabilityHübsch, Arnd; Walther, Ursula
2012 Das Geschäft mit Derivaten und strukturierten Produkten: Welche Rolle spielt die Bank?Schmidt, Wolfgang M.
2011 The trend is not your friend! Why empirical timing success is determined by the underlying's price characteristics and market efficiency is irrelevantScholz, Peter; Walther, Ursula
2011 Characteristic functions in the Cheyette Interest Rate ModelBeyna, Ingo; Wystup, Uwe
2010 On the calibration of the Cheyette interest rate modelBeyna, Ingo; Wystup, Uwe
2010 Ratings of structured products and issuers' commitmentsVeiga, Carlos; Wystup, Uwe
2010 Return distributions of equity-linked retirement plansDetering, Nils; Weber, Andreas; Wystup, Uwe
2010 Investment certificates under German taxation: Benefit or burden for structured products' performance?Scholz, Peter; Walther, Ursula
2010 Unifying exotic option closed formulasEsquível, Manuel L.; Veiga, Carlos; Wystup, Uwe
2009 Credit gap risk in a first passage time model with jumpsPackham, Natalie; Schlögl, Lutz; Schmidt, Wolfgang M.
2009 Credit dynamics in a first passage time model with jumpsPackham, Natalie; Schlögl, Lutz; Schmidt, Wolfgang M.
2009 Potential PCA interpretation problems for volatility smile dynamicsReiswich, Dimitri; Tompkins, Robert
2009 FX volatility smile constructionReiswich, Dimitri; Wystup, Uwe
2008 On the valuation of fader and discrete barrier options in Heston's Stochastic Volatility ModelGriebsch, Susanne; Wystup, Uwe
2008 Latin hypercube sampling with dependence and applications in financePackham, Natalie; Schmidt, Wolfgang M.
2008 Forward-start options in the Barndorff-Nielsen-Shephard ModelKeller-Ressel, Martin; Kilin, Fiodar
2008 FX basket optionsHakala, Jürgen; Wystup, Uwe
2008 Vergleich von Anlagestrategien bei Riesterrenten ohne Berücksichtigung von Gebühren: Eine Simulationsstudie zur Verteilung der RenditenWeber, Andreas; Wystup, Uwe
Collection's Items (Sorted by Title in Descending order): 1 to 20 of 33
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