Publikationen

Buchcover

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).

Artikelcover

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.

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

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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

Buchcover

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

Cover Kontrahentenrisiko

Standardregulierung und Interne-Modelle-Methoden

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

Cover Kontrahentenrisiko

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

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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)

Buchcover

Minimum Principles in Motor Control

Sascha E. Engelbrecht (2001)