Erik Schloegl - Dokumente zum Namen - alle Infos bei Yasni.de

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Model Risk Measurement Under Wasserstein Distance by Yu Feng, Erik...

papers.ssrn.com

The paper proposes a new approach to model risk measurement based on the Wasserstein distance between two probability measures. It formulates the theoretical mo

A Multicurrency Extension of the Lognormal Interest Rate Market...

papers.ssrn.com

The Market Models of the term structure of interest rates, in which forward LIBOR or forward swap rates are modelled to be lognormal under the forward probabili

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Dokumente zum Namen Erik Schloegl

Model Risk Measurement Under Wasserstein Distance by Yu Feng, Erik...

A Multicurrency Extension of the Lognormal Interest Rate Market...