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CPQF Working Paper Series, Frankfurt School of Finance and Management
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Showing items 1-21 of 33.
| Date | Title |
Authors |
| 2004 | Cross currency swap valuation | Boenkost, Wolfram / Schmidt, Wolfgang M. |
| 2004 | Efficient computation of option price sensitivities for options of American style | Wallner, Christian / Wystup, Uwe |
| 2005 | On the cost of delayed currency fixing announcements | Becker, Christoph / Wystup, Uwe |
| 2006 | Interest rate convexity and the volatility smile | Boenkost, Wolfram / Schmidt, Wolfgang M. |
| 2007 | Default swaps and hedging credit baskets | Schmidt, Wolfgang M. |
| 2007 | Instalment options: a closed-form solution and the limiting case | Griebsch, Susanne / Kühn, Christoph / Wystup, Uwe |
| 2007 | Accelerating the calibration of stochastic volatility models | Kilin, Fiodar |
| 2008 | FX basket options | Hakala, Jürgen / Wystup, Uwe |
| 2008 | On the valuation of fader and discrete barrier options in Heston's Stochastic Volatility Model | Griebsch, Susanne / Wystup, Uwe |
| 2008 | Closed formula for options with discrete dividends and its derivatives | Veiga, Carlos / Wystup, Uwe |
| 2008 | Latin hypercube sampling with dependence and applications in finance | Packham, Natalie / Schmidt, Wolfgang M. |
| 2008 | Forward-start options in the Barndorff-Nielsen-Shephard Model | Keller-Ressel, Martin / Kilin, Fiodar |
| 2008 | Foreign exchange symmetries | Wystup, Uwe |
| 2008 | Was kostet eine Garantie? Ein statistischer Vergleich der Rendite von langfristigen Anlagen | Becker, Christoph / Wystup, Uwe |
| 2008 | Riesterrente im Vergleich: Eine Simulationsstudie zur Verteilung der Renditen | Weber, Andreas / Wystup, Uwe |
| 2008 | Vanna-volga pricing | Wystup, Uwe |
| 2008 | Vergleich von Anlagestrategien bei Riesterrenten ohne Berücksichtigung von Gebühren: Eine Simulationsstudie zur Verteilung der Renditen | Weber, Andreas / Wystup, Uwe |
| 2008 | Foreign exchange quanto options | Wystup, Uwe |
| 2009 | Credit gap risk in a first passage time model with jumps | Packham, Natalie / Schlögl, Lutz / Schmidt, Wolfgang M. |
| 2009 | Potential PCA interpretation problems for volatility smile dynamics | Reiswich, Dimitri / Tompkins, Robert |
| 2009 | FX volatility smile construction | Reiswich, Dimitri / Wystup, Uwe |
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