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Co-authors
(7)
Tomasz R. Bielecki
2
Holger Rootzen (Holger Rootzén)
2
Thorsten L. Schmidt
2
Ji-Wook Jang
1
Ji-Wook Jang
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STAT PROBAB LETT
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Authors
Alexander Herbertsson
Alexander Herbertsson,University of Gothenburg,Mathematics,Financial Economics
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Alexander Herbertsson
University of Gothenburg
Publications:
10
|
Citations:
32
Fields:
Mathematics
,
Financial Economics
View FAQ about top research areas and Fields of study
Collaborated with
7 co-authors
from 2007 to 2011
|
Cited by
30 authors
Cumulative
Annual
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Publications
(10)
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Modelling default contagion using multivariate phase-type distributions
(
Citations: 4
)
Alexander Herbertsson
Journal:
Review of Derivatives Research
, vol. 14, no. 1, pp. 1-36, 2011
Dynamic Modeling of Portfolio Credit Risk with Common Shocks
Tomasz R. Bielecki
,
Areski Cousin
,
Stéphane Crépey
,
Alexander Herbertsson
Published in 2011.
Pricing basket default swaps in a tractable shot noise model
Alexander Herbertsson
,
Jiwook Jang
,
Thorsten Schmidt
Journal:
Statistics & Probability Letters - STAT PROBAB LETT
, vol. 81, no. 8, pp. 1196-1207, 2011
Pricing basket default swaps in a tractable shot-noise model
Alexander Herbertsson
,
Jiwook Jang
,
Thorsten Schmidt
Published in 2009.
Pricing Synthetic CDO Tranches in a Model with Default Contagion Using the Matrix-Analytic Approach
(
Citations: 16
)
Alexander Herbertsson
Published in 2007.
Sort by:
Citations
(32 times by 23 publications)
Pricing CDOs with state-dependent stochastic recovery rates
Salah Amraoui
,
Laurent Cousot
,
Sebastien Hitier
,
Jean-Paul Laurent
Journal:
Quantitative Finance - QUANT FINANC
, vol. ahead-of-p, no. ahead-of-p, pp. 1-22, 2012
Delta-hedging correlation risk?
Areski Cousin
,
Stéphane Crépey
,
Yu Hang Kan
Journal:
Review of Derivatives Research
, pp. 1-32, 2012
Modelling default contagion using multivariate phase-type distributions
(
Citations: 4
)
Alexander Herbertsson
Journal:
Review of Derivatives Research
, vol. 14, no. 1, pp. 1-36, 2011
Comparing alternative Lévy base correlation models for pricing and hedging CDO tranches
(
Citations: 1
)
Viktoriya Masol
,
Wim Schoutens
Journal:
Quantitative Finance - QUANT FINANC
, vol. 11, no. 5, pp. 763-773, 2011
Pricing basket default swaps in a tractable shot noise model
Alexander Herbertsson
,
Jiwook Jang
,
Thorsten Schmidt
Journal:
Statistics & Probability Letters - STAT PROBAB LETT
, vol. 81, no. 8, pp. 1196-1207, 2011
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