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Philipp Schönbucher

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This is information that was supplied by Philipp Schönbucher in registering through RePEc. If you are Philipp Schönbucher , you may change this information at the RePEc Author Service. Or if you are not registered and would like to be listed as well, register at the RePEc Author Service. When you register or update your RePEc registration, you may identify the papers and articles you have authored.

Personal Details

First Name: Philipp
Middle Name:
Last Name: Schönbucher
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RePEc Short-ID: psc6

Email:
Homepage: http://www.schonbucher.de
Postal Address: Department of Mathematics ETH Zürich Rämistrasse 101 CH-8092 Zürich Switzerland
Phone:

Affiliation

(in no particular order)

Works

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Working papers

  1. 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.
  2. 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.
  3. Philipp J. Schönbucher, 2000. "A Libor Market Model with Default Risk," Bonn Econ Discussion Papers bgse15_2001, University of Bonn, Germany.
  4. Philipp J. Schönbucher, 2000. "Factor Models for Portofolio Credit Risk," Bonn Econ Discussion Papers bgse16_2001, University of Bonn, Germany.
  5. 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.
  6. 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.
  7. R. Haber & P. Schonbucher & P.Wilmott, 1999. "An American in Paris," OFRC Working Papers Series 1999mf14, Oxford Financial Research Centre.
  8. 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.
  9. Philipp J. Schonbucher, 1997. "Team Structure Modelling of Defaultable Bonds," FMG Discussion Papers dp272, Financial Markets Group.
  10. Schönbucher, Philpp J., . "A Market Model for Stochastic Implied Volatility," Discussion Paper Serie B 453, University of Bonn, Germany, revised May 1999.

Articles

  1. Philippe Ehlers & Philipp Schönbucher, 2009. "Background filtrations and canonical loss processes for top-down models of portfolio credit risk," Finance and Stochastics, Springer, vol. 13(1), pages 79-103, January.
  2. 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.
  3. 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.

NEP Fields

5 papers by this author were announced in NEP, and specifically in the following field reports (number of papers):
  1. NEP-FIN: Finance (1) 2000-02-07
  2. NEP-FMK: Financial Markets (3) 2001-09-26 2001-09-26 2001-09-26. Author is listed
  3. NEP-RMG: Risk Management (1) 2007-10-20

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