Zobrazeno 1 - 10
of 258
pro vyhledávání: '"Ludger Rüschendorf"'
Publikováno v:
Risks, Vol 2, Iss 1, Pp 25-48 (2014)
Recent crises in the financial industry have shown weaknesses in the modeling of Risk-Weighted Assets (RWAs). Relatively minor model changes may lead to substantial changes in the RWA numbers. Similar problems are encountered in the Value-at-Risk (Va
Externí odkaz:
https://doaj.org/article/b3dff1783958403bac88a67d3efbf6d9
Autor:
Ludger Rüschendorf, Eva-Maria Schopp
Publikováno v:
Discrete Mathematics & Theoretical Computer Science, Vol Vol. 9 no. 1, Iss Analysis of Algorithms (2007)
Analysis of Algorithms
Externí odkaz:
https://doaj.org/article/003b0c78458f4d20aa251a6a856771ed
Autor:
Ludger Rüschendorf, Eva-Maria Schopp
Publikováno v:
Discrete Mathematics & Theoretical Computer Science, Vol Vol. 9 no. 1, Iss Analysis of Algorithms (2007)
Analysis of Algorithms
Externí odkaz:
https://doaj.org/article/7e61392eb742423d9d0c3ef4427d08e2
Autor:
Ludger Rüschendorf, Ralf Neininger
Publikováno v:
Discrete Mathematics & Theoretical Computer Science, Vol 8, Iss 1 (2006)
We survey multivariate limit theorems in the framework of the contraction method for recursive sequences as arising in the analysis of algorithms, random trees or branching processes. We compare and improve various general conditions under which limi
Externí odkaz:
https://doaj.org/article/bfb28143e5eb424ba936407ea0041f1f
Autor:
Benedikt Köpfer, Ludger Rüschendorf
Publikováno v:
Stochastic Processes and their Applications. 162:361-386
Autor:
Anselm Hudde, Ludger Rüschendorf
Publikováno v:
Methodology and Computing in Applied Probability. 25
In this paper we give easy-to-implement closed-form expressions for European and Asian Greeks for general L2-payoff functions and underlying assets in an exponential Lévy process model with nonvanishing Brownian motion part. The results are based on
Autor:
Giovanni Puccetti, Ludger Rüschendorf
Publikováno v:
Bernoulli. 29
Publikováno v:
European Journal of Operational Research. 297:741-752
We provide a new mathematical framework for the classic problem of fair allocation of indivisible goods, showing that it can be formulated as the problem of finding an optimal column rearrangement of multiple matrices. Based on this formulation, we d
Autor:
Ludger Rüschendorf
Publikováno v:
Mathematics Study Resources ISBN: 9783662647103
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::0c6b51d6fbc78707ea9695c3a14ff6c2
https://doi.org/10.1007/978-3-662-64711-0_3
https://doi.org/10.1007/978-3-662-64711-0_3
Publikováno v:
SSRN Electronic Journal.