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The Trend is not Your Friend! Why Empirical Timing Success is Determined by the Underlying’s Price Characteristics and Market Efficiency is Irrelevant
Peter Scholz, Ursula Walther, Frankfurt School Working Paper, CPQF No. 29, 2011, PDF, 1945kb
2011
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Characteristic Functions in the Cheyette Interest Rate Model
Ingo Beyna, Uwe Wystup, Frankfurt School Working Paper, CPQF No. 28, 2011, PDF, 904kb
2011
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Return distributions of equity-linked retirement plans
Nils Detering, Andreas Weber, Uwe Wystup, Frankfurt School Working Paper, CPQF No. 27, 2011 , PDF, 397kb
2010
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Ratings of Structured Products and Issuers’ Commitments
Carlos Veiga, Uwe Wystup, Frankfurt School Working Paper, CPQF No. 26, 2010, PDF, 385kb
2010
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On the Calibration of the Cheyette Interest Rate Model
Ingo Beyna, Uwe Wystup, Frankfurt School Working Paper, CPQF No. 25, 2010, PDF, 1588kb
2010
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Investment Certificates under German Taxation - Benefit or Burden for Structured Products' Performance?
Peter Scholz, Ursula Walther, Frankfurt School Working Paper, CPQF No. 24, 2010, PDF, 1064kb
2010
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Unifying Exotic Option Closed Formulas
Manuel L. Esquível, Carlos Veiga, Uwe Wystup, Frankfurt School Working Paper, CPQF No. 23, 2010, PDF, 367kb
2010
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Credit gap risk in a first passage time model with jumps
Natalie Packham, Lutz Schlögl, Wolfgang M. Schmidt, Frankfurt School Working Paper, CPQF No. 22, 2009, PDF, 609kb
2009
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Credit dynamics in a first passage time model with jumps
Natalie Packham, Lutz Schlögl, Wolfgang M. Schmidt, Frankfurt School Working Paper, CPQF No. 21, 2009, PDF, 549kb
2009
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FX Volatility Smile Construction
Dimitri Reiswich, Uwe Wystup, Frankfurt School Working Paper, CPQF No. 20, 2009, PDF, 769kb
2009
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Potential PCA Interpretation Problems for Volatility Smile Dynamics
Dimitri Reiswich, Robert Tompkins, Frankfurt School Working Paper, CPQF No. 19, 2009, PDF, 623kb
2009
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Forward-Start Options in the Barndorff-Nielsen-Shephard Model
Martin Keller-Ressel, Fiodar Kilin, Frankfurt School Working Paper, CPQF No. 18, 2008, PDF, 277kb
2008
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On the Valuation of Fader and Discrete Barrier Options in Heston’s Stochastic Volatility Model
Susanne Griebsch, Uwe Wystup, Frankfurt School Working Paper, CPQF No. 17, 2008, PDF, 422kb
2008
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Closed Formula for Options with Discrete Dividends and its Derivatives
Carlos Veiga, Uwe Wystup, Frankfurt School Working Paper, CPQF No. 16, 2008, PDF, 648kb
2008
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Latin hypercube sampling with dependence and applications in finance
Natalie Packham, Wolfgang Schmidt, Frankfurt School Working Paper, CPQF No. 15, 2008, PDF, 458kb
2008
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FX Basket Options
Jürgen Hakala, Uwe Wystup, Frankfurt School Working Paper, CPQF No. 14, 2008, PDF, 221kb
2008
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Vergleich von Anlagestrategien bei Riesterrenten ohne Berücksichtigung von Gebühren
Eine Simulationsstudie zur Verteilung der Renditen
Andreas Weber, Uwe Wystup, Frankfurt School Working Paper, CPQF No. 13, 2008, PDF, 4822kb
2008
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Riesterrente im Vergleich
Eine Simulationsstudie zur Verteilung der Renditen
Andreas Weber, Uwe Wystup, Frankfurt School Working Paper, CPQF No. 12, 2008, PDF, 4885kb
2008
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Vanna-Volga Pricing
Uwe Wystup, Frankfurt School Working Paper, CPQF No. 11, 2008, PDF, 452kb
2008
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Foreign Exchange Quanto Options
Uwe Wystup, Frankfurt School Working Paper, CPQF No. 10, 2008, PDF, 271kb
2008
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