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10 research outputs found

An Accurate Solution for Credit Value Adjustment (CVA) and Wrong Way Risk

Author: Gregory J.
Jarrow R.A.
Lipton A.
Morgan J.P.
O’Kane D.
Pykhtin M.
Tim Xiao
Publication venue: 'Pageant Media US'
Publication date
Field of study

Expected Shortfall Under a Model With Market and Credit Risks

Author: A. Arvanitis
C. Acerbi
D. Tasche
H. Yang
H. Yang
J.P. Morgan
M. Kijima
P. Artzner
P. Artzner
R.A. Jarrow
R.T. Rockafellar
Y. Yamai
Y. Yamai
Y. Yamai
Y. Yamai
Publication venue: 'Springer Science and Business Media LLC'
Publication date: 01/01/2007
Field of study

Utility Valuation of Credit Derivatives: Single and Two-Name Cases

Author: D. Becherer
D. Duffe
D. Duffe
D. Kramkov
D. Lando
D. Madan
F. Delbaen
J. Cvitanić
J.P. Fouque
M. Davis
M.H.A. Davis
P. Artzner
R. Jarrow
S.D. Hodges
T. Shouda
V. Linetsky
Y.M. Kabanov
Publication venue: 'Springer Science and Business Media LLC'
Publication date: 01/01/2007
Field of study

Asset Price Bubbles in Complete Markets

Author: A. Shleifer
A.M. Cox
C. Gilles
C. Gilles
D. Duffie
D. Elworthy
E. Oftek
F. Delbaen
G. Cassese
G. D’Avolio
J. Chen
J.B. DeLong
J.M. Harrison
J.P. Ansel
K.X. Huang
M. Loewenstein
M. Schweizer
M. Schweizer
M. Émery
P. Brémaud
R. Battalio
R.A. Jarrow
R.C. Merton
Publication venue: 'Springer Science and Business Media LLC'
Publication date: 01/01/2007
Field of study

Disability Simulations: Logical, Methodological and Ethical Issues

Author: Adams D.M.
Adorno T.W.
Allport G.W.
Barton L.
Behler G.T.
Donaldson J.
Glazzard P.
Hallenbeck C.
Jarrow J.E.
Mead G.H.
Pfeiffer D.
Sarbin T.R.
Sawyer H.W.
Schur E.
Shaver J.P.
Sherif M.
Tajfel H.
Towner A.G.
Vernon R.V.
Wright B.A.
Zola I.K.
Publication venue: 'Informa UK Limited'
Publication date
Field of study

Varicocele and Infertility

Author: A. Kamischke
A. Shafik
A.J. Grillo-Lopez
A.W. Zorgniotti
B.N. Hendin
C.K. Naughton
D.C. Saypol
D.J. Cozzolino
E. Nieschlag
E. Segenreich
H. Nishiyama
H.U. Braedel
I. Madgar
J. Macleod
J.L. Pryor
J.L.H. Evers
J.P. Jarrow
L. Su
M. Fujisawa
M. Fujisawa
M. Fujisawa
M. Goldstein
N.E. Ahlberg
O. Steeno
P.C. Fretz
P.N. Schlegel
R. Barwell
R. Schreck
R.K. Sharma
R.S. Swerdloff
R.W. Hudson
R.W. Hudson
R.W. Hudson
S. Benoff
S. Cayan
S. Cayan
T.T. Turner
W.H. Bennet
World Health Organization
Y. Yin
Publication venue: 'Springer Science and Business Media LLC'
Publication date: 01/01/2005
Field of study

Azoospermia in Senegal: management in the age of ICSI?

Author: A. Kadioglu
A.E. Reteif
A.M. Belker
Ablaye Ndiaye
C.R. Givens
F.F. Pasqualotto
G. Bourouillou
G. Garcia
I. Seifer
Issa Labou
J.P. Jarrow
Jeanne Joséphine Diaw
L. Niang
L.V. Wagenknecht
Lamine Niang
Mohamed Jalloh
Médina Ndoye
N.G. Pedigo
O. Faye
O. Hovatta
P. Barriere
P. Devroey
P.N. Schlegel
R. Reijo
Racine Kane
S. Cayan
Sérigne Magueye Gueye
V. Izard
W. Cates
Y. Nakahori
Y. Ozgok
Publication venue: 'Springer Science and Business Media LLC'
Publication date
Field of study

Liquidating large security positions strategically: a pragmatic and empirical approach

Author: A. Madhavan
A. Ranaldo
A. Ranaldo
A.R. Admati
Burkart Mönch
C. Loderer
D. Bertsimas
F.D. Foster
F.D. Foster
G. Huberman
H. Bessembinder
J. Hasbrouck
J. Lin
J. Linnainmaa
J.P. Pereira
L.E. Harris
M. Spiegel
P. Gomber
P. Jain
P.H. Wei
R. Almgren
R. Frey
R.A. Jarrow
R.A. Wood
R.D. Huang
R.K. Lyons
T. Kirchner
T.H. McInish
T.H. McInish
W.A. Brock
Y. Amihud
Y. Hisata
Y.K. Kwok
Publication venue
Publication date
Field of study

Optimal liquidation, Transaction costs, Market impact, Liquidity, G15,

Research Papers in Economics

Prospect and Markowitz stochastic dominance

Prospect stochastic dominance, Markowitz stochastic dominance, Risk seeking, Risk averse, S-shaped utility function, Reverse S-shaped utility function, D81, C91,

Research Papers in Economics

ScholarBank@NUS

Itô’s Calculus and the Derivation of the Black–Scholes Option-Pricing Model

Author: A Malliaris
AG Malliaris
B Dupire
B Oksendal
CW Smith Jr
CW Smith Jr
D Chance
D Chiras
D Duffie
D Duffie
D Galai
D Lamberton
DM Kreps
DM Kreps
DR Cox
E Derman
E Fama
E Fama
EG Haug
F Black
F Black
F Delbaen
F Delbaen
HA Latané
HE Leland
I Gikhman
I Karatzas
J Harrison
J Hull
J Hull
J.P. Ansel
JC Cox
JC Cox
JD MacBeth
JE Ingersoll
JM Harrison
JN Bodurtha
JR Garven
K Shastri
L Arnold
M Baxter
M Bhattacharya
M Britten-Jones
M Musiela
M Rubinstein
M Scholes
M Schweizer
N Taleb
P Lackner
P Wilmott
PP Boyler
R Brealey
R Jarrow
R McDonald
R Rebonato
R Rebonato
R Rebonato
R Roll
RC Merton
RC Merton
RC Merton
RC Merton
S Neftci
SL Heston
SR Das
SR Pliska
T Bjork
Publication venue: 'Springer Science and Business Media LLC'
Publication date: 01/01/2010
Field of study

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