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CPQF Working Paper Series, Frankfurt School of Finance and Management

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DateTitle Authors
2004 Cross currency swap valuationBoenkost, Wolfram / Schmidt, Wolfgang M.
2004 Efficient computation of option price sensitivities for options of American styleWallner, Christian / Wystup, Uwe
2005 On the cost of delayed currency fixing announcementsBecker, Christoph / Wystup, Uwe
2006 Interest rate convexity and the volatility smileBoenkost, Wolfram / Schmidt, Wolfgang M.
2007 Default swaps and hedging credit basketsSchmidt, Wolfgang M.
2007 Instalment options: a closed-form solution and the limiting caseGriebsch, Susanne / Kühn, Christoph / Wystup, Uwe
2007 Accelerating the calibration of stochastic volatility modelsKilin, Fiodar
2008 FX basket optionsHakala, Jürgen / Wystup, Uwe
2008 On the valuation of fader and discrete barrier options in Heston's Stochastic Volatility ModelGriebsch, Susanne / Wystup, Uwe
2008 Closed formula for options with discrete dividends and its derivativesVeiga, Carlos / 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 Foreign exchange symmetriesWystup, Uwe
2008 Was kostet eine Garantie? Ein statistischer Vergleich der Rendite von langfristigen AnlagenBecker, Christoph / Wystup, Uwe
2008 Riesterrente im Vergleich: Eine Simulationsstudie zur Verteilung der RenditenWeber, Andreas / Wystup, Uwe
2008 Vanna-volga pricingWystup, Uwe
2008 Vergleich von Anlagestrategien bei Riesterrenten ohne Berücksichtigung von Gebühren: Eine Simulationsstudie zur Verteilung der RenditenWeber, Andreas / Wystup, Uwe
2008 Foreign exchange quanto optionsWystup, Uwe
2009 Credit gap risk 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
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