Correlation Smile, Volatility Skew and Systematic Risk Sensitivity of Tranches.
Article
Hamerle, Alfred, Igl, Andreas and Plank, Kilian (2012) Correlation Smile, Volatility Skew and Systematic Risk Sensitivity of Tranches. Journal of Derivatives. (In Press)Involved Institutions
Details
| Item type | Article |
| Journal or Publication Title | Journal of Derivatives |
| Date | 2012 |
| Date of publication | 24 Mar 2011 07:39 |
| Institutions | Business, Economics and Information Systems > Institut für Betriebswirtschaftslehre > Entpflichtete oder im Ruhestand befindliche Professoren > Lehrstuhl für Statistik (Prof. Dr. Alfred Hamerle) |
| Dewey Decimal Classification | 300 Social sciences > 330 Economics 300 Social sciences > 310 General statistics |
| Status | In Press |
| Refereed | Yes, this version has been refereed |
| Created at the University of Regensburg | Yes |
| Item ID | 20258 |
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