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. The Journal of Derivatives 19 (3), pp. 8-27.Alternative links to fulltext
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| Item type | Article | ||||
| Journal or Publication Title | The Journal of Derivatives | ||||
| Publisher | INST INVESTOR INC | ||||
| Place of Publication | NEW YORK | ||||
| Volume | 19 | ||||
| Number of Issue or Book Chapter | 3 | ||||
| Page Range | pp. 8-27 | ||||
| Date | 2012 | ||||
| Date of publication | 19 Dec 2024 09:42 | ||||
| Institutions | Business, Economics and Information Systems > Institut für Betriebswirtschaftslehre > Entpflichtete oder im Ruhestand befindliche Professoren > Lehrstuhl für Statistik (Prof. Dr. Alfred Hamerle) | ||||
| Identification Number |
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| Keywords | OPTION PRICES; | ||||
| Dewey Decimal Classification | 300 Social sciences > 330 Economics | ||||
| Status | Published | ||||
| Refereed | Yes, this version has been refereed | ||||
| Created at the University of Regensburg | Yes | ||||
| Item ID | 64004 |
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