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Chapter
Valuation of Structured Financial Products by Adaptive Multiwavelet Methods in High Dimensions
We introduce a new numerical approach to value structured financial products. These financial products typically feature a large number of underlying assets and require the explicit modeling of the dependence ...
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Chapter and Conference Paper
Pricing Options on EU ETS Certificates with a Time-Varying Market Price of Risk Model
To price options on emission certificates reduced-form models have proved to be useful. We empirically analyse the performance of the model proposed in Carmona and Hinz [2] and Hinz [8]. As we find evidence for a...