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Felix L. Wolf
Felix L. Wolf
Université libre de Bruxelles
Verificeret mail på ulb.be
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Accelerated computations of sensitivities for xVA
G Deelstra, LA Grzelak, FL Wolf
International Journal of Computer Mathematics, 1-23, 2023
32023
Cheapest-to-deliver collateral: a common factor approach
FL Wolf, LA Grzelak, G Deelstra
Quantitative Finance 22 (4), 707-723, 2022
12022
Consistent asset modelling with random coefficients and switches between regimes
FL Wolf, G Deelstra, LA Grzelak
arXiv preprint arXiv:2401.09955, 2024
2024
Sensitivities and Hedging of the Collateral Choice Option
G Deelstra, LA Grzelak, FL Wolf
International Journal of Theoretical and Applied Finance 25 (06), 2250027, 2022
2022
The Coupling Time Problem for Regime-Switching Martingales and Geometric Brownian Motions
FL Wolf
Rheinische Friedrich-Wilhelms-Universität Bonn, 2018
2018
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Artikler 1–5