83 citations · 87 across the 5 of their papers we have counts for
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q-fin.PR2010
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…
q-fin.PR2009★ 3 cited
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…