Endogenous credit spreads and optimal debt financing structure in the presence of liquidity risk

European Financial Management 23(1), pp. 55-86, 2017

(E. Lütkebohmert-Holtz, D. Oeltz, Y. Xiao).


A Universal Pairwise Local Correlation Model

(September 10, 2016)

Koster, Frank and Oeltz, Daniel

Available at SSRN: or

Buchcover The Basel II Risk Parameters

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

2. Auflage

Bernd Engelmann, Robert Rauhmeier

ISBN 978-3-642-16113-1
Erschienen im 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
Erschienen im Verlag Wiley Finance – John Wiley & Sons


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

Bernd Engelmann, Frank Koster, Daniel Oeltz


A Generic Approach to Manage Gap Risk

Frank Koster, Daniel Oeltz


Bewertung und Nominierung von Gas Bezugsverträgen

Christian Menn, Daniel Oeltz


Forward Fitting to Quotes of American Options

Frank Koster, Christian Menn, Daniel Oeltz