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Auflistung nach Autor "Jaschke, Stefan R."
Anzeige der Publikationen 1-6 von 6
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1997-12-13BuchA Note on Stochastic Volatility, GARCH models, and Hyperbolic Distributions Jaschke, Stefan R.We establish a relation between stochastic volatility models and the class of generalized hyperbolic distributions. These distributions have been found to fit exceptionally well to the empirical distribution of stock ...
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1999-09-02BuchCoherent Risk Measures, Valuation Bounds, and (My,p)-Portfolio Optimization Jaschke, Stefan R.; Küchler, Uwe
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1998-11-22BuchHigher Order Forward Rate Agreements and the Smoothness of the Term Structure Jaschke, Stefan R.
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2001-07-27BuchQuantile-VaR is the Wrong Measure to Quantify Market Risk for Regulatory Purposes Jaschke, Stefan R.
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1998-02-14BuchTax Clientele Effects in the German Bond Market Stehle, Richard; Jaschke, Stefan R.; Wernicke, S.This paper presents an analysis of tax clientele eects in the German government bond market from the viewpoint of private investors. The methods developed here allow the identification of bonds that are over-valued from ...
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2001-07-27BuchThe Cornish-Fisher-Expansion in the Context of Delta - Gamma - Normal Approximations Jaschke, Stefan R.