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Frank Oertel

Personal Details

First Name:Frank
Middle Name:
Last Name:Oertel
Suffix:
RePEc Short-ID:poe10
[This author has chosen not to make the email address public]
http://www.frank-oertel-math.de

Research output

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Jump to: Working papers Articles

Working papers

  1. Claudio Albanese & Damiano Brigo & Frank Oertel, 2011. "Restructuring Counterparty Credit Risk," Papers 1112.1607, arXiv.org, revised May 2012.
  2. Frank Oertel & Mark Owen, 2006. "On utility-based super-replication prices of contingent claims with unbounded payoffs," Papers math/0609403, arXiv.org.
  3. Frank Oertel & Mark P. Owen, 2006. "Geometry of polar wedges and super-replication prices in incomplete financial markets," Papers math/0609402, arXiv.org, revised Nov 2007.

Articles

  1. Oertel Frank, 2015. "An analysis of the Rüschendorf transform - with a view towards Sklar’s Theorem," Dependence Modeling, De Gruyter Open, vol. 3(1), pages 1-13, September.
  2. Ralf Korn & Frank Oertel & Manfred Schäl, 2003. "Notes and Comments: The numeraire portfolio in financial markets modeled by a multi-dimensional jump diffusion process," Decisions in Economics and Finance, Springer;Associazione per la Matematica, vol. 26(2), pages 153-166, November.

Citations

Many of the citations below have been collected in an experimental project, CitEc, where a more detailed citation analysis can be found. These are citations from works listed in RePEc that could be analyzed mechanically. So far, only a minority of all works could be analyzed. See under "Corrections" how you can help improve the citation analysis.

Working papers

  1. Claudio Albanese & Damiano Brigo & Frank Oertel, 2011. "Restructuring Counterparty Credit Risk," Papers 1112.1607, arXiv.org, revised May 2012.

    Cited by:

    1. Damiano Brigo & Andrea Pallavicini, 2013. "CCPs, Central Clearing, CSA, Credit Collateral and Funding Costs Valuation FAQ: Re-hypothecation, CVA, Closeout, Netting, WWR, Gap-Risk, Initial and Variation Margins, Multiple Discount Curves, FVA?," Papers 1312.0128, arXiv.org, revised Dec 2013.
    2. Damiano Brigo, 2011. "Counterparty Risk FAQ: Credit VaR, PFE, CVA, DVA, Closeout, Netting, Collateral, Re-hypothecation, WWR, Basel, Funding, CCDS and Margin Lending," Papers 1111.1331, arXiv.org, revised Jun 2012.
    3. Stéphane Crépey & S. Song, 2014. "Counterparty risk and funding: Immersion and beyond," Working Papers hal-00989062, HAL.

  2. Frank Oertel & Mark Owen, 2006. "On utility-based super-replication prices of contingent claims with unbounded payoffs," Papers math/0609403, arXiv.org.

    Cited by:

    1. Westray, Nicholas & Zheng, Harry, 2009. "Constrained nonsmooth utility maximization without quadratic inf convolution," Stochastic Processes and their Applications, Elsevier, vol. 119(5), pages 1561-1579, May.

Articles

  1. Ralf Korn & Frank Oertel & Manfred Schäl, 2003. "Notes and Comments: The numeraire portfolio in financial markets modeled by a multi-dimensional jump diffusion process," Decisions in Economics and Finance, Springer;Associazione per la Matematica, vol. 26(2), pages 153-166, November.

    Cited by:

    1. Tahir Choulli & Jun Deng & Junfeng Ma, 2012. "How Non-Arbitrage, Viability and Num\'eraire Portfolio are Related," Papers 1211.4598, arXiv.org, revised Jun 2014.
    2. Jörn Sass & Manfred Schäl, 2014. "Numeraire portfolios and utility-based price systems under proportional transaction costs," Decisions in Economics and Finance, Springer;Associazione per la Matematica, vol. 37(2), pages 195-234, October.
    3. Hardy Hulley, 2009. "Strict Local Martingales in Continuous Financial Market Models," PhD Thesis, Finance Discipline Group, UTS Business School, University of Technology, Sydney, number 19.
    4. Tahir Choulli & Jun Deng & Junfeng Ma, 2015. "How non-arbitrage, viability and numéraire portfolio are related," Finance and Stochastics, Springer, vol. 19(4), pages 719-741, October.

More information

Research fields, statistics, top rankings, if available.

Statistics

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NEP Fields

NEP is an announcement service for new working papers, with a weekly report in each of many fields. This author has had 2 papers announced in NEP. These are the fields, ordered by number of announcements, along with their dates. If the author is listed in the directory of specialists for this field, a link is also provided.
  1. NEP-BAN: Banking (2) 2011-12-13 2013-05-22
  2. NEP-FMK: Financial Markets (1) 2013-05-22
  3. NEP-RMG: Risk Management (1) 2013-05-22

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