Endogenous credit spreads and optimal debt financing structure in the presence of liquidity risk
European Financial Management 23(1), pp. 55-86, 2017
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A Universal Pairwise Local Correlation Model
(September 10, 2016)
Koster, Frank and Oeltz, Daniel
Available at SSRN: https://ssrn.com/abstract=2766011 or http://dx.doi.org/10.2139/ssrn.2766011.
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
CVA under accounting standards and Basel III. FIRM Jahrbuch 2013
S.E. Engelbrecht, F. Müller
Standardregulierung und Interne-Modelle-Methoden
S.E. Engelbrecht, A. Reif
In: C. Wehn, S. Ludwig, M.R.W. Martin (eds.), Kontrahentenrisiko. Schäffer-Poeschel.
Technische Umsetzung einer integrierten Kontrahentenrisiko-Plattform
S.E. Engelbrecht, S. Ludwig
In: C. Wehn, S. Ludwig, M.R.W. Martin (eds.), Kontrahentenrisiko. Schäffer-Poeschel.
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)
Reinforcement learning with stability guarantees
University of Massachusetts Technical Report CS-2000-006
P.J. Perkins, S.E. Engelbrecht, A.G. Barto (1999)
THE UNDERSHOOT BIAS:
Learning to Act Optimally Under Uncertainty
Sascha E. Engelbrecht, Neil E. Berthier and Laura P. O’Sullivan (2003)
Minimum Principles in Motor Control
Sascha E. Engelbrecht (2001)