A Benchmark Framework for Integrated Risk Management
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- Jan Baldeaux & Eckhard Platen, 2015.
"Credit Derivative Evaluation and CVA Under the Benchmark Approach,"
Asia-Pacific Financial Markets,
Springer;Japanese Association of Financial Economics and Engineering, vol. 22(3), pages 305-331, September.
- Jan Baldeaux & Eckhard Platen, 2013. "Credit Derivative Evaluation and CVA under the Benchmark Approach," Research Paper Series 324, Quantitative Finance Research Centre, University of Technology, Sydney.
- Renata Rendek, 2013. "Modeling Diversified Equity Indices," PhD Thesis, Finance Discipline Group, UTS Business School, University of Technology, Sydney, number 23.
More about this item
Keywordsbenchmarked model; growth optimal portfolio; fair pricing; actuarial pricing; benchmark arbitrage; arbitrage amount;
- G10 - Financial Economics - - General Financial Markets - - - General (includes Measurement and Data)
- G13 - Financial Economics - - General Financial Markets - - - Contingent Pricing; Futures Pricing
- D52 - Microeconomics - - General Equilibrium and Disequilibrium - - - Incomplete Markets
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