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1

Estimation in the Cox-Ingersoll-Ross Model

Ludger Overbeck and Tobias Rydén

Journal:

Econometric Theory

Year:

1997

Language:

english

File:

PDF, 3.01 MB

english, 1997

2

Applied Quantitative Finance ||

Härdle, Wolfgang K., Hautsch, Nikolaus, Overbeck, Ludger

Year:

2009

Language:

english

File:

PDF, 7.23 MB

english, 2009

3

Modeling Default Dependence with Threshold Models

Overbeck, Ludger, Schmidt, Wolfgang

Journal:

The Journal of Derivatives

Year:

2005

Language:

english

File:

PDF, 181 KB

english, 2005

4

Semi-analytic Approaches to Collateralized Debt Obligation Modelling

Christian Bluhm, Ludger Overbeck

Journal:

Year:

2004

Language:

english

File:

PDF, 219 KB

english, 2004

5

DYNAMIC CDO TERM STRUCTURE MODELING

Damir Filipović, Ludger Overbeck, Thorsten Schmidt

Journal:

Mathematical Finance

Year:

2011

Language:

english

File:

PDF, 176 KB

english, 2011

6

Multivariate Markov Families of Copulas

Overbeck, Ludger, Schmidt, Wolfgang M.

Journal:

Dependence Modeling

Year:

2015

Language:

english

File:

PDF, 427 KB

english, 2015

7

[Statistics and Computing] Applied Quantitative Finance || Risk Analysis of Cryptocurrency as an Alternative Asset Class

Härdle, Wolfgang Karl, Chen, Cathy Yi-Hsuan, Overbeck, Ludger

Year:

2017

Language:

english

File:

PDF, 571 KB

english, 2017

8

Applied Quantitative Finance || Modeling Dependencies with Copulae

Härdle, Wolfgang K., Hautsch, Nikolaus, Overbeck, Ludger

Year:

2009

Language:

english

File:

PDF, 478 KB

english, 2009

9

REPRESENTATION OF BSDE-BASED DYNAMIC RISK MEASURES AND DYNAMIC CAPITAL ALLOCATIONS

KROMER, EDUARD, OVERBECK, LUDGER

Journal:

International Journal of Theoretical and Applied Finance

Year:

2014

Language:

english

File:

PDF, 284 KB

english, 2014

10

Copula dynamics in CDOs

Choroś-Tomczyk, Barbara, Härdle, Wolfgang Karl, Overbeck, Ludger

Journal:

Quantitative Finance

Year:

2014

Language:

english

File:

PDF, 538 KB

english, 2014

11

Estimation in the Cox-Ingersoll-Ross Model

Overbeck, Ludger, Rydén, Tobias

Journal:

Econometric Theory

Year:

1997

Language:

english

File:

PDF, 1.29 MB

english, 1997

12

[Statistics and Computing] Applied Quantitative Finance || Stress Testing in Credit Portfolio Models

Härdle, Wolfgang Karl, Chen, Cathy Yi-Hsuan, Overbeck, Ludger

Year:

2017

Language:

english

File:

PDF, 630 KB

english, 2017

13

[Statistics and Computing] Applied Quantitative Finance || Portfolio Selection with Spectral Risk Measures

Härdle, Wolfgang Karl, Chen, Cathy Yi-Hsuan, Overbeck, Ludger

Year:

2017

Language:

english

File:

PDF, 580 KB

english, 2017

14

[Statistics and Computing] Applied Quantitative Finance || Copulae in High Dimensions: An Introduction

Härdle, Wolfgang Karl, Chen, Cathy Yi-Hsuan, Overbeck, Ludger

Year:

2017

Language:

english

File:

PDF, 981 KB

english, 2017

15

[Statistics and Computing] Applied Quantitative Finance || Implementation of Local Stochastic Volatility Model in FX Derivatives

Härdle, Wolfgang Karl, Chen, Cathy Yi-Hsuan, Overbeck, Ludger

Year:

2017

Language:

english

File:

PDF, 524 KB

english, 2017

16

[Statistics and Computing] Applied Quantitative Finance || Dynamic Topic Modelling for Cryptocurrency Community Forums

Härdle, Wolfgang Karl, Chen, Cathy Yi-Hsuan, Overbeck, Ludger

Year:

2017

Language:

english

File:

PDF, 630 KB

english, 2017

17

[Statistics and Computing] Applied Quantitative Finance || Market Based Credit Rating and Its Applications

Härdle, Wolfgang Karl, Chen, Cathy Yi-Hsuan, Overbeck, Ludger

Year:

2017

Language:

english

File:

PDF, 572 KB

english, 2017

18

Option pricing in a regime switching stochastic volatility model

Biswas, Arunangshu, Goswami, Anindya, Overbeck, Ludger

Journal:

Statistics & Probability Letters

Year:

2018

Language:

english

File:

PDF, 389 KB

english, 2018

19

Self-Tuning for Short-Term Memory Consumers

Ludger C. Overbeck, Karsten Schmidt

Journal:

Datenbank-Spektrum

Year:

2011

Language:

english

File:

PDF, 354 KB

english, 2011

20

Estimation for Continuous Branching Processes

Ludger Overbeck

Journal:

Scandinavian Journal of Statistics

Year:

1998

Language:

english

File:

PDF, 249 KB

english, 1998

21

Risk and Asset Allocationby Attilio Meucci

Review by: Ludger Overbeck

Journal:

Year:

2006

Language:

english

File:

PDF, 327 KB

english, 2006

22

Geometric aspects of finite and infinite-dimensional Fleming-Viot processes

OVERBECK, Ludger, RÖCKNER, Michael

Journal:

Random Operators and Stochastic Equations

Year:

1997

Language:

english

File:

PDF, 2.07 MB

english, 1997

23

An Analytic Approach to Fleming-Viot Processes with Interactive Selection

Ludger Overbeck, Michael Rockner and Byron Schmuland

Journal:

The Annals of Probability

Year:

1995

Language:

english

File:

PDF, 2.28 MB

english, 1995

24

A note on optimal risk sharing on L

Kromer, Eduard, Overbeck, Ludger

Journal:

Operations Research Letters

Year:

2016

Language:

english

File:

PDF, 219 KB

english, 2016

25

Estimation for Continuous Branching Processes

Ludger Overbeck

Journal:

Scandinavian Journal of Statistics

Year:

1998

Language:

english

File:

PDF, 1.34 MB

english, 1998

26

Path-dependent BSDEs with jumps and their connection to PPIDEs

Kromer, Eduard, Overbeck, Ludger, Röder, Jasmin A. L.

Journal:

Stochastics and Dynamics

Year:

2016

Language:

english

File:

PDF, 422 KB

english, 2016

27

[Statistics and Computing] Applied Quantitative Finance || Measuring and Modeling Risk Using High-Frequency Data

Härdle, Wolfgang Karl, Chen, Cathy Yi-Hsuan, Overbeck, Ludger

Year:

2017

Language:

english

File:

PDF, 499 KB

english, 2017

28

[Statistics and Computing] Applied Quantitative Finance || Multivariate Volatility Models

Härdle, Wolfgang Karl, Chen, Cathy Yi-Hsuan, Overbeck, Ludger

Year:

2017

Language:

english

File:

PDF, 928 KB

english, 2017

29

[Statistics and Computing] Applied Quantitative Finance || Measuring Financial Risk in Energy Markets

Härdle, Wolfgang Karl, Chen, Cathy Yi-Hsuan, Overbeck, Ludger

Year:

2017

Language:

english

File:

PDF, 417 KB

english, 2017

30

[Statistics and Computing] Applied Quantitative Finance || Using Public Information to Predict Corporate Default Risk

Härdle, Wolfgang Karl, Chen, Cathy Yi-Hsuan, Overbeck, Ludger

Year:

2017

Language:

english

File:

PDF, 628 KB

english, 2017

31

[Statistics and Computing] Applied Quantitative Finance || Term Structure of Loss Cascades in Portfolio Securitisation

Härdle, Wolfgang Karl, Chen, Cathy Yi-Hsuan, Overbeck, Ludger

Year:

2017

Language:

english

File:

PDF, 492 KB

english, 2017

32

[Statistics and Computing] Applied Quantitative Finance || Risk Measurement with Spectral Capital Allocation

Härdle, Wolfgang Karl, Chen, Cathy Yi-Hsuan, Overbeck, Ludger

Year:

2017

Language:

english

File:

PDF, 953 KB

english, 2017

33

[Statistics and Computing] Applied Quantitative Finance || VaR in High Dimensional Systems-A Conditional Correlation Approach

Härdle, Wolfgang Karl, Chen, Cathy Yi-Hsuan, Overbeck, Ludger

Year:

2017

Language:

english

File:

PDF, 664 KB

english, 2017

34

[Statistics and Computing] Applied Quantitative Finance || Penalized Independent Factor

Härdle, Wolfgang Karl, Chen, Cathy Yi-Hsuan, Overbeck, Ludger

Year:

2017

Language:

english

File:

PDF, 903 KB

english, 2017

35

[Statistics and Computing] Applied Quantitative Finance || Estimating Distance-to-Default with a Sector-Specific Liability Adjustment via Sequential Monte Carlo

Härdle, Wolfgang Karl, Chen, Cathy Yi-Hsuan, Overbeck, Ludger

Year:

2017

Language:

english

File:

PDF, 228 KB

english, 2017

36

[Statistics and Computing] Applied Quantitative Finance || Time Varying Quantile Lasso

Härdle, Wolfgang Karl, Chen, Cathy Yi-Hsuan, Overbeck, Ludger

Year:

2017

Language:

english

File:

PDF, 1.02 MB

english, 2017

37

[Statistics and Computing] Applied Quantitative Finance || Credit Rating Score Analysis

Härdle, Wolfgang Karl, Chen, Cathy Yi-Hsuan, Overbeck, Ludger

Year:

2017

Language:

english

File:

PDF, 845 KB

english, 2017

38

DIFFERENTIABILITY OF BSVIEs AND DYNAMIC CAPITAL ALLOCATIONS

KROMER, EDUARD, OVERBECK, LUDGER

Journal:

International Journal of Theoretical and Applied Finance

Year:

2017

Language:

english

File:

PDF, 308 KB

english, 2017

39

An Analytic Approach to Fleming-Viot Processes with Interactive Selection

Overbeck, Ludger, Rockner, Michael, Schmuland, Byron

Journal:

The Annals of Probability

Year:

1995

File:

PDF, 2.75 MB

1995

40

Representation of BSDE-Based Dynamic Risk Measures and Dynamic Capital Allocations

Kromer, Eduard, Overbeck, Ludger

Journal:

SSRN Electronic Journal

Year:

2014

Language:

english

File:

PDF, 281 KB

english, 2014

41

Classical Differentiability of BSVIEs and Dynamic Capital Allocations

Kromer, Eduard, Overbeck, Ludger

Journal:

SSRN Electronic Journal

Year:

2014

Language:

english

File:

PDF, 192 KB

english, 2014

42

Dynamic Systemic Risk Measures for Bounded Discrete-Time Processes

Kromer, Eduard, Overbeck, Ludger, Zilch, Katrin A.

Journal:

SSRN Electronic Journal

Year:

2014

File:

PDF, 455 KB

2014

43

Feynman Kac for Functional Jump Diffusions with an Application to Credit Value Adjustment

Kromer, Eduard, Overbeck, Ludger, RRder, Jasmin A.L.

Journal:

SSRN Electronic Journal

Year:

2014

Language:

english

File:

PDF, 182 KB

english, 2014

44

Path-dependent backward stochastic Volterra integral equations with jumps, differentiability and duality principle

Overbeck, Ludger, Röder, Jasmin A. L.

Journal:

Probability, Uncertainty and Quantitative Risk

Year:

2018

Language:

english

File:

PDF, 783 KB

english, 2018