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: 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