83 citations · 87 across the 5 of their papers we have counts for
5 papers
Stochastic Price Dynamics Implied By the Limit Order Book
Alex Langnau, Yanko Punchev
In this paper we present a novel approach to the determination of fat tails in financial data by studying the information contained in the limit order book. In an order-driven mark…
Marking Systemic Portfolio Risk with Application to the Correlation Skew of Equity Baskets
Alex Langnau, Daniel Cangemi
The downside risk of a portfolio of (equity)assets is generally substantially higher than the downside risk of its components. In particular in times of crises when assets tend to…
A model-insensitive determination of First-hitting-time densities with Application to Equity default-swaps
Alex Langnau
Equity default-swaps pay the holder a fixed amount of money when the underlying spot level touches a (far-down) barrier during the life of the instrument. While most pricing models…
Introduction into "Local Correlation Modelling"
Alex Langnau
In this paper we provide evidence that financial option markets for equity indices give rise to non-trivial dependency structures between its constituents. Thus, if the individual…
A New Determination of M_b Using Lattice QCD
C. T. H. Davies, K. Hornbostel, A. Langnau +5
Recent results from lattice QCD simulations provide a realistic picture, based upon first principles, of~ physics. We combine these results with the experimentally measured mass…