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Philipp Schönbucher
(Philipp Schoenbucher)

Personal Details

First Name:Philipp
Middle Name:
Last Name:Schönbucher
Suffix:
RePEc Short-ID:psc6
http://www.schonbucher.de
Department of Mathematics ETH Zürich Rämistrasse 101 CH-8092 Zürich Switzerland
Terminal Degree:2000 Wirtschaftswissenschaftlicher Fachbereich; Rheinische Friedrich-Wilhelms-Universität Bonn (from RePEc Genealogy)

Affiliation

(in no particular order)

Wirtschaftswissenschaftlicher Fachbereich (Economics Department)
Rheinische Friedrich-Wilhelms-Universität Bonn (University of Bonn)

Bonn, Germany
http://www.econ.uni-bonn.de/

+49+228+73-7930
+49+228+73-9110
Adenauerallee 24-42, 53113 Bonn
RePEc:edi:wfbonde (more details at EDIRC)

Financial and Insurance Mathematics
Eidgenössische Technische Hochschule Zürich (ETHZ) (Federal Institute of Technology Zurich)

Zürich, Switzerland
http://www.math.ethz.ch/finance/




RePEc:edi:fiethch (more details at EDIRC)

Research output

as
Jump to: Working papers Articles

Working papers

  1. Philippe Ehlers & Philipp J. Schoenbucher, 2007. "Background Filtrations andCanonical Loss Processes for Top-Down Models of Portfolio Credit Risk," Swiss Finance Institute Research Paper Series 07-07, Swiss Finance Institute.
  2. 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.
  3. R. Haber & P. Schonbucher & P.Wilmott, 1999. "An American in Paris," OFRC Working Papers Series 1999mf14, Oxford Financial Research Centre.
  4. 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.
  5. Philipp J. Schonbucher, 1997. "Team Structure Modelling of Defaultable Bonds," FMG Discussion Papers dp272, Financial Markets Group.
    repec:chf:rpseri:rp39 is not listed on IDEAS

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.

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. Philippe Ehlers & Philipp J. Schoenbucher, 2007. "Background Filtrations andCanonical Loss Processes for Top-Down Models of Portfolio Credit Risk," Swiss Finance Institute Research Paper Series 07-07, Swiss Finance Institute.

    Cited by:

    1. Ying Jiao, 2009. "Multiple defaults and contagion risks," Papers 0912.3132, arXiv.org.
    2. Jakob Sidenius & Vladimir Piterbarg & Leif Andersen, 2008. "A New Framework For Dynamic Credit Portfolio Loss Modelling," International Journal of Theoretical and Applied Finance (IJTAF), World Scientific Publishing Co. Pte. Ltd., vol. 11(02), pages 163-197.
    3. El Karoui, Nicole & Jeanblanc, Monique & Jiao, Ying, 2017. "Dynamics of multivariate default system in random environment," Stochastic Processes and their Applications, Elsevier, vol. 127(12), pages 3943-3965.
    4. Ying Jiao, 2009. "Multiple defaults and contagion risks," Working Papers hal-00441500, HAL.
    5. Nicole El Karoui & Monique Jeanblanc & Ying Jiao, 2017. "Dynamics of multivariate default system in random environment," Post-Print hal-01205753, HAL.
    6. Ernst Eberlein & Zorana Grbac & Thorsten Schmidt, 2010. "Discrete tenor models for credit risky portfolios driven by time-inhomogeneous L\'evy processes," Papers 1006.2012, arXiv.org, revised Apr 2013.

  2. 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.

    Cited by:

    1. Lander, Diane M. & Pinches, George E., 1998. "Challenges to the Practical Implementation of Modeling and Valuing Real Options," The Quarterly Review of Economics and Finance, Elsevier, vol. 38(3, Part 2), pages 537-567.
    2. Bouasker, O. & Letifi, N. & Prigent, J.-L., 2016. "Optimal funding and hiring/firing policies with mean reverting demand," Economic Modelling, Elsevier, vol. 58(C), pages 569-579.
    3. Christian-Oliver Ewald & Zhaojun Yang, 2008. "Utility based pricing and exercising of real options under geometric mean reversion and risk aversion toward idiosyncratic risk," Mathematical Methods of Operations Research, Springer;Gesellschaft für Operations Research (GOR);Nederlands Genootschap voor Besliskunde (NGB), vol. 68(1), pages 97-123, August.
    4. Marcel Philipp Müller & Sebastian Stöckl & Steffen Zimmermann & Bernd Heinrich, 2016. "Decision Support for IT Investment Projects," Business & Information Systems Engineering: The International Journal of WIRTSCHAFTSINFORMATIK, Springer;Gesellschaft für Informatik e.V. (GI), vol. 58(6), pages 381-396, December.
    5. Steven Li, 2003. "A valuation model for firms with stochastic earnings," Applied Mathematical Finance, Taylor & Francis Journals, vol. 10(3), pages 229-243.
    6. Pineiro-Chousa, Juan & Vizcaíno-González, Marcos, 2016. "A quantum derivation of a reputational risk premium," International Review of Financial Analysis, Elsevier, vol. 47(C), pages 304-309.

  3. R. Haber & P. Schonbucher & P.Wilmott, 1999. "An American in Paris," OFRC Working Papers Series 1999mf14, Oxford Financial Research Centre.

    Cited by:

    1. Céline Labart & Jérôme Lelong, 2009. "Pricing Double Barrier Parisian Options Using Laplace Transforms," International Journal of Theoretical and Applied Finance (IJTAF), World Scientific Publishing Co. Pte. Ltd., vol. 12(01), pages 19-44.

  4. 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.

    Cited by:

    1. S H Martzoukos, 2009. "Real R&D options and optimal activation of two-dimensional random controls," Journal of the Operational Research Society, Palgrave Macmillan;The OR Society, vol. 60(6), pages 843-858, June.
    2. Martzoukos, Spiros H. & Zacharias, Eleftherios, 2013. "Real option games with R&D and learning spillovers," Omega, Elsevier, vol. 41(2), pages 236-249.

  5. Philipp J. Schonbucher, 1997. "Team Structure Modelling of Defaultable Bonds," FMG Discussion Papers dp272, Financial Markets Group.

    Cited by:

    1. Acharya, Viral V & Das, Sanjiv Ranjan & Sundaram, Rangarajan K, 2002. "Pricing Credit Derivatives with Rating Transitions," CEPR Discussion Papers 3329, C.E.P.R. Discussion Papers.
    2. Carl Chiarella & Samuel Chege Maina & Christina Nikitopoulos Sklibosios, 2013. "Credit Derivatives Pricing With Stochastic Volatility Models," International Journal of Theoretical and Applied Finance (IJTAF), World Scientific Publishing Co. Pte. Ltd., vol. 16(04), pages 1-28.
    3. Nicola Bruti-Liberati & Christina Nikitopoulos-Sklibosios & Eckhard Platen & Erik Schlögl, 2009. "Alternative Defaultable Term Structure Models," Asia-Pacific Financial Markets, Springer;Japanese Association of Financial Economics and Engineering, vol. 16(1), pages 1-31, March.
    4. Alejandro Revéiz Hérault, 2002. "Factores determinantes de los márgenes entre bonos del gobierno y bonos corporativos en los Estados Unidos," Lecturas en Finanzas 002710, Banco de la República.
    5. Dai, Qiang & Singleton, Kenneth J., 2003. "Fixed-income pricing," Handbook of the Economics of Finance,in: G.M. Constantinides & M. Harris & R. M. Stulz (ed.), Handbook of the Economics of Finance, edition 1, volume 1, chapter 20, pages 1207-1246 Elsevier.
    6. Stute, Winfried & Colino, Jesús P., 2008. "Credit risk with semimartingales and risk-neutrality," DES - Working Papers. Statistics and Econometrics. WS ws085417, Universidad Carlos III de Madrid. Departamento de Estadística.
    7. Acharya, Viral V & Bharath, Sreedhar T & Srinivasan, Anand, 2003. "Understanding the Recovery Rates on Defaulted Securities," CEPR Discussion Papers 4098, C.E.P.R. Discussion Papers.
    8. Tao Peng, 2010. "Portfolio Credit Risk Modelling and CDO Pricing - Analytics and Implied Trees from CDO Tranches," PhD Thesis, Finance Discipline Group, UTS Business School, University of Technology, Sydney, number 8, December.
    9. Rihab Bedoui & Islem Kedidi, 2018. "Modeling Longevity Risk using Consistent Dynamics Affine Mortality Models," Working Papers hal-01678050, HAL.
    10. Blackburn, Craig & Sherris, Michael, 2013. "Consistent dynamic affine mortality models for longevity risk applications," Insurance: Mathematics and Economics, Elsevier, vol. 53(1), pages 64-73.
    11. Norbert Jobst & Stavros A. Zenios, 2001. "Extending Credit Risk (Pricing) Models for the Simulation of Portfolios of Interest Rate and Credit Risk Sensitive Securities," Center for Financial Institutions Working Papers 01-25, Wharton School Center for Financial Institutions, University of Pennsylvania.
    12. Carl Chiarella & Samuel Chege Maina & Christina Nikitopoulos-Sklibosios, 2010. "Markovian Defaultable HJM Term Structure Models with Unspanned Stochastic Volatility," Research Paper Series 283, Quantitative Finance Research Centre, University of Technology, Sydney.
    13. Christina Nikitopoulos-Sklibosios, 2005. "A Class of Markovian Models for the Term Structure of Interest Rates Under Jump-Diffusions," PhD Thesis, Finance Discipline Group, UTS Business School, University of Technology, Sydney, number 6, December.
    14. Matti Koivu & Teemu Pennanen, 2010. "Reduced form models of bond portfolios," Papers 1011.3246, arXiv.org.
    15. Duffie, Darrell, 2003. "Intertemporal asset pricing theory," Handbook of the Economics of Finance,in: G.M. Constantinides & M. Harris & R. M. Stulz (ed.), Handbook of the Economics of Finance, edition 1, volume 1, chapter 11, pages 639-742 Elsevier.
    16. Samuel Chege Maina, 2011. "Credit Risk Modelling in Markovian HJM Term Structure Class of Models with Stochastic Volatility," PhD Thesis, Finance Discipline Group, UTS Business School, University of Technology, Sydney, number 5, December.
    17. Gunter Meissner & Seth Rooder & Kristofor Fan, 2013. "The impact of different correlation approaches on valuing credit default swaps with counterparty risk," Quantitative Finance, Taylor & Francis Journals, vol. 13(12), pages 1903-1913, December.

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. See citations under working paper version above.
  2. 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.
    See citations under working paper version above.Sorry, no citations of articles recorded.

More information

Research fields, statistics, top rankings, if available.

Statistics

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Co-authorship network on CollEc

NEP Fields

NEP is an announcement service for new working papers, with a weekly report in each of many fields. This author has had 1 paper 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-RMG: Risk Management (1) 2007-10-20

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