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Publications

by members of

Financial and Insurance Mathematics
Eidgenössische Technische Hochschule Zürich (ETHZ)
Zürich, Switzerland

(Federal Institute of Technology Zurich))

These are publications listed in RePEc written by members of the above institution who are registered with the RePEc Author Service. Thus this compiles the works all those currently affiliated with this institutions, not those affilated at the time of publication. List of registered members. Register yourself. This page is updated in the first days of each month.
| Working papers | Journal articles |

Working papers

Undated material is listed at the end

    2007

  1. Elyès Jouini & Marie Chazal & Rabah Tahraoui, 2007. "Production Planning and Inventories Optimization: A Backward Approach in the Convex Storage Cost Case," Pre- and Post-Print documents halshs-00167156_v1, HAL. [Downloadable!]
  2. Elyès Jouini & Marie Chazal, 2007. "Equilibrium Pricing Bounds on Option Prices," Pre- and Post-Print documents halshs-00176642_v1, HAL. [Downloadable!]

    2006

  1. Philippe Ehlers & Philipp J. Schoenbucher, 2006. "Background Filtrations andCanonical Loss Processes for Top-Down Models of Portfolio Credit Risk," Swiss Finance Institute Research Paper Series 07-07, Swiss Finance Institute. [Downloadable!]
  2. Philippe Ehlers & Philipp J. Schonbucher, 2006. "Pricing Interest Rate-SensitiveCredit Portfolio Derivatives," Swiss Finance Institute Research Paper Series 06-39, Swiss Finance Institute, revised Dec 2006. [Downloadable!]

    2003

  1. Marie Chazal & Elyès Jouini & Rabah Tahraoui, 2003. "Production Planning and Inventories Optimization : A Backward Approach in the Convex Storage Cost Case," GE, Growth, Math methods 0312002, EconWPA. [Downloadable!]

    2000

  1. Philipp J. Schönbucher, 2000. "Factor Models for Portofolio Credit Risk," Bonn Econ Discussion Papers bgse16_2001, University of Bonn, Germany. [Downloadable!]
  2. Philipp J. Schönbucher, 2000. "A Libor Market Model with Default Risk," Bonn Econ Discussion Papers bgse15_2001, University of Bonn, Germany. [Downloadable!]
  3. Philipp J. Schönbucher, 2000. "A Tree Implementation of a Credit Spread Model for Credit Derivatives," Bonn Econ Discussion Papers bgse17_2001, University of Bonn, Germany. [Downloadable!]

    1999

  1. R. Haber & P. Schonbucher & P.Wilmott, 1999. "An American in Paris," OFRC Working Papers Series 1999mf14, Oxford Financial Research Centre. [Downloadable!]
  2. N. Mayor & P. Schonbucher & P.Wilmott & A.E. Whalley & D. Epstein, 1999. "The Value of Market Research When a Firm is Learning: Real Option Pricing and Optimal Filtering," OFRC Working Papers Series 1999mf13, Oxford Financial Research Centre. [Downloadable!]
  3. D. Epstein & N.Mayor & P.Schonbucher & A.E. Whalley & P. Wilmott, 1999. "The Valuation of a Firm Advertising Optimally," OFRC Working Papers Series 1999mf01, Oxford Financial Research Centre. [Downloadable!]

    1997

  1. Philipp J. Schonbucher, 1997. "Team Structure Modelling of Defaultable Bonds," FMG Discussion Papers dp272, Financial Markets Group. [Downloadable!] (restricted)

    Undated

  1. Schönbucher, Philpp J., . "A Market Model for Stochastic Implied Volatility," Discussion Paper Serie B 453, University of Bonn, Germany, revised May 1999. [Downloadable!]

Journal articles

    2004

  1. Schonbucher P., 2004. "Applied Computational Economics and Finance. Mario J. Miranda and Paul L. Fackler," Journal of the American Statistical Association, American Statistical Association, vol. 99, pages 565-566, January. [Downloadable!] (restricted)

    1998

  1. Epstein, D. & Mayor, N. & Schonbucher, P. & Whalley, A. E. & Wilmott, P., 1998. "The valuation of a firm advertising optimally," The Quarterly Review of Economics and Finance, Elsevier, vol. 38(2), pages 149-166. [Downloadable!] (restricted)
Did you know? The RePEc project started in 1997. Its precursor, NetEc, dates back to 1993.

This page was last updated on 2008-7-1.

This information is provided to you by IDEAS at the Department of Economics, College of Liberal Arts and Sciences, University of Connecticut using RePEc data on a server sponsored by the Society for Economic Dynamics.