Matthias Thul
Landesbank Baden-Württemberg(DE)
Publications by Year
Research Areas
Stochastic processes and financial applications, Complex Systems and Time Series Analysis, Credit Risk and Financial Regulations, Capital Investment and Risk Analysis, Insurance, Mortality, Demography, Risk Management
Most-Cited Works
- → Analytical Option Pricing Under a Displaced Double Exponential Jump-Diffusion Model(2013)3 cited
- How Much is the Gap?:Efficient Overnight Jump Risk-Adjusted Valuation of Leveraged Certificates(2017)
- → Analytical option pricing under an asymmetrically displaced double gamma jump-diffusion model(2014)
- → Determining the Best Response Function of Regulators in the Presence of Insider Trading(2012)
- → Jump Size Distributions of Additive Compound Poisson Processes That Are Closed Under the Esscher Transform(2013)
- → How Much Is the Gap? Efficient Jump Risk-Adjusted Valuation of Leveraged Certificates(2016)
- → How much is the gap?—Efficient jump risk-adjusted valuation of leveraged certificates(2017)