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 Das Geschäft mit Derivaten und strukturierten Produkten: Welche Rolle spielt die Bank?Schmidt, Wolfgang M.
2012 The impact of network inhomogeneities on contagion and system stabilityHübsch, Arnd; Walther, Ursula
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 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
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
2009 Credit dynamics in a first passage time model with jumpsPackham, Natalie; Schlögl, Lutz; Schmidt, Wolfgang M.
2009 FX volatility smile constructionReiswich, Dimitri; Wystup, 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
2008 Closed formula for options with discrete dividends and its derivativesVeiga, Carlos; Wystup, Uwe
2008 Vanna-volga pricingWystup, Uwe
2008 On the valuation of fader and discrete barrier options in Heston's Stochastic Volatility ModelGriebsch, Susanne; Wystup, Uwe
2008 Foreign exchange quanto optionsWystup, Uwe
2008 FX basket optionsHakala, Jürgen; Wystup, Uwe
Collection's Items (Sorted by Title in Descending order): 1 to 20 of 33
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