The Basel II Risk Parameters: Estimation, Validation, Stress Testing - with Applications to Loan Risk Management

2nd edition

Bernd Engelmann, Robert Rauhmeier

ISBN 978-3-642-16113-1
Published by Springer-Verlag




Fat-Tailed and Skewed Asset Return Distributions

Implications for Risk Management, Portfolio Selection, and Option Pricing

Svetlozar T. Rachev, Christian Menn, Frank J. Fabozzi

ISBN 978-0-471-71886-4
Published by Wiley Finance - John Wiley & Sons




Calibration of the Heston Stochastic Local Volatility Model: A Finite Volume Scheme

Bernd Engelmann, Frank Koster, Daniel Oeltz

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A Generic Approach to Manage Gap Risk

Frank Koster, Daniel Oeltz

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Bewertung und Nominierung von Gas Bezugsverträgen

Christian Menn, Daniel Oeltz

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Forward Fitting to Quotes of American Options

Frank Koster, Christian Menn, Daniel Oeltz

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CVA under accounting standards and Basel III. FIRM Jahrbuch 2013

S.E. Engelbrecht, F. Müller

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Standardregulierung und Interne-Modelle-Methoden

S.E. Engelbrecht, A. Reif
In: C. Wehn, S. Ludwig, M.R.W. Martin (eds.), Kontrahentenrisiko. Schäffer-Poeschel.

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Standardregulierung und Interne-Modelle-Methoden

Technische Umsetzung einer integrierten Kontrahentenrisiko-Plattform

S.E. Engelbrecht, S. Ludwig
In: C. Wehn, S. Ludwig, M.R.W. Martin (eds.), Kontrahentenrisiko. Schäffer-Poeschel.

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Markov decision processes with delays and asynchronous cost collections.
IEEE Transactions on Automatic Control, 48 (4), 568- 574

K.V. Katsikopoulos, S.E. Engelbrecht, 2003




Planning with delayed state information.
University of Massachusetts Technical Report CS-1999-030

S.E. Engelbrecht, K.V. Katsikopoulos (1999)

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Reinforcement learning with stability guarantees.
University of Massachusetts Technical Report CS-2000-006

P.J. Perkins, S.E. Engelbrecht, A.G. Barto (1999)

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THE UNDERSHOOT BIAS:
Learning to Act Optimally Under Uncertainty

Sascha E. Engelbrecht, Neil E. Berthier, and Laura P. O’Sullivan (2003)

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Minimum Principles in Motor Control

Sascha E. Engelbrecht (2001)

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