2 citations · 2 across the 2 of their papers we have counts for
3 papers
Improved Robust Price Bounds for Multi-Asset Derivatives under Market-Implied Dependence Information
Jonathan Ansari, Eva Lütkebohmert, Ariel Neufeld +1
We show how inter-asset dependence information derived from market prices of options can lead to improved model-free price bounds for multi-asset derivatives. Depending on the type…
Funding Liquidity, Debt Tenor Structure, and Creditor's Belief: An Exogenous Dynamic Debt Run Model
Gechun Liang, Eva Lütkebohmert, Wei Wei
We propose a unified structural credit risk model incorporating both insolvency and illiquidity risks, in order to investigate how a firm's default probability depends on the liqui…
Absolutely continuous laws of Jump-Diffusions in finite and infinite dimensions with applications to mathematical Finance
Barbara Forster, Eva Luetkebohmert, Josef Teichmann
In mathematical Finance calculating the Greeks by Malliavin weights has proved to be a numerically satisfactory procedure for finite-dimensional Itô-diffusions. The existence of Ma…