Items where Author is "Veraart, Luitgard A. M."

Number of items: 21.
  • Adjustable network reconstruction with applications to CDS exposures. Gandy, Axel and Veraart, Luitgard A. M.
  • Assessing and mitigating fire sales risk under partial information. Pang, Raymond Ka-Kay and Veraart, Luitgard A. M. picture_as_pdf
  • A Bayesian methodology for systemic risk assessment in financial networks. Gandy, Axel and Veraart, Luitgard A. M.
  • Compound poisson models for weighted networks with applications in finance. Gandy, Axel and Veraart, Luitgard A. M. picture_as_pdf
  • Distress and default contagion in financial networks. Veraart, Luitgard A. M. picture_as_pdf
  • Einblicke in die Finanzmathematik: Optionsbewertung und Portfolio-Optimierung. Bauerle, N. and Veraart, Luitgard A. M.
  • Faliure and rescue in an interbank network. Rogers, L.C.G. and Veraart, Luitgard A. M.
  • How does the repo market behave under stress? Evidence from the COVID-19 crisis. Hüser, Anne-Caroline and Lepore, Caterina and Veraart, Luitgard A. M. picture_as_pdf
  • Interbank clearing in financial networks with multiple maturities. Kusnetsov, Michael and Veraart, Luitgard A. M. picture_as_pdf
  • Modelling electricity day-ahead prices by multivariate Lévy semistationary processes. Veraart, Almut E. D. and Veraart, Luitgard A. M. picture_as_pdf
  • Optimal diversification in the presence of parameter uncertainty for a risk averse investor. Dubois, Mathieu S. and Veraart, Luitgard A. M.
  • Optimal investment in the foreign exchange market with proportional transaction costs. Veraart, Luitgard A. M.
  • Optimal market making in the foreign exchange market. Veraart, Luitgard A. M.
  • Pricing q-forward contracts: an evaluation of estimation window and pricing method under different mortality models. Barrieu, Pauline and Veraart, Luitgard A. M.
  • Stochastic volatility and stochastic leverage. Veraart, Almut E. D. and Veraart, Luitgard A. M.
  • Systemic risk in markets with multiple central counterparties. Veraart, Luitgard A. M. and Aldasoro, Iñaki picture_as_pdf
  • When does portfolio compression reduce systemic risk? Veraart, Luitgard A. M. picture_as_pdf
  • The effect of estimation in high-dimensional portfolios. Gandy, Axel and Veraart, Luitgard A. M.
  • A note on the survival probability in CreditGrades. Kiesel, Rüdiger and Veraart, Luitgard A. M.
  • The relaxed investor with partial information. Bäuerle, Nicole and Urban, Sebastian and Veraart, Luitgard A. M.
  • A stochastic volatility alternative to SABR. Rogers, L.C.G. and Veraart, Luitgard A. M.