5 citations · 11 across the 3 of their papers we have counts for
3 papers
q-fin.RM2011★ 4 cited
Credit contagion and risk management with multiple non-ordered defaults
Younes Kchia, Martin Larsson
The classical reduced-form and filtration expansion framework in credit risk is extended to the case of multiple, non-ordered defaults, assuming that conditional densities of the d…
math.PR2011★ 5 cited
Discretely sampled variance and volatility swaps versus their continuous approximations
Robert Jarrow, Younes Kchia, Martin Larsson +1
Discretely sampled variance and volatility swaps trade actively in OTC markets. To price these swaps, the continuously sampled approximation is often used to simplify the computati…
math.PR2010★ 2 cited
Tail Properties of Multivariate Archimedean Copulas
Martin Larsson
In this thesis, the tail properties of multivariate Archimedean copulas are investigated using known representation theorems involving L1-norm symmetric distributions and the Willi…