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Veraart, Luitgard A. M. ORCID: 0000-0003-1183-2227 and Aldasoro, Iñaki
(2024)
Systemic risk in markets with multiple central counterparties.
Mathematical Finance.
ISSN 0960-1627
(In Press)
Hüser, Anne-Caroline, Lepore, Caterina and Veraart, Luitgard A. M. ORCID: 0000-0003-1183-2227
(2024)
How does the repo market behave under stress? Evidence from the COVID-19 crisis.
Journal of Financial Stability, 70.
ISSN 1572-3089
Pang, Raymond Ka-Kay and Veraart, Luitgard A. M. ORCID: 0000-0003-1183-2227
(2023)
Assessing and mitigating fire sales risk under partial information.
Journal of Banking and Finance, 155.
ISSN 0378-4266
Veraart, Luitgard A. M. ORCID: 0000-0003-1183-2227
(2022)
When does portfolio compression reduce systemic risk?
Mathematical Finance, 32 (3).
727 - 778.
ISSN 0960-1627
Gandy, Axel and Veraart, Luitgard A. M. ORCID: 0000-0003-1183-2227
(2021)
Compound poisson models for weighted networks with applications in finance.
Mathematics and Financial Economics, 15 (1).
131 - 153.
ISSN 1862-9679
Veraart, Luitgard A. M. ORCID: 0000-0003-1183-2227
(2020)
Distress and default contagion in financial networks.
Mathematical Finance, 30 (3).
705 - 737.
ISSN 0960-1627
Kusnetsov, Michael and Veraart, Luitgard A. M. ORCID: 0000-0003-1183-2227
(2019)
Interbank clearing in financial networks with multiple maturities.
SIAM Journal on Financial Mathematics, 10 (1).
pp. 37-67.
ISSN 1945-497X
Gandy, Axel and Veraart, Luitgard A. M. ORCID: 0000-0003-1183-2227
(2018)
Adjustable network reconstruction with applications to CDS exposures.
Journal of Multivariate Analysis.
ISSN 0047-259X
Gandy, Axel and Veraart, Luitgard A. M. ORCID: 0000-0003-1183-2227
(2017)
A Bayesian methodology for systemic risk assessment in financial networks.
Management Science, 63 (12).
4428 -4446.
ISSN 0025-1909
Barrieu, Pauline and Veraart, Luitgard A. M. ORCID: 0000-0003-1183-2227
(2016)
Pricing q-forward contracts: an evaluation of estimation window and pricing method under different mortality models.
Scandinavian Actuarial Journal, 2016 (2).
pp. 146-166.
ISSN 0346-1238
Dubois, Mathieu S. and Veraart, Luitgard A. M. ORCID: 0000-0003-1183-2227
(2015)
Optimal diversification in the presence of parameter uncertainty for a risk averse investor.
SIAM Journal on Financial Mathematics, 6 (1).
pp. 201-241.
ISSN 1945-497X
Veraart, Almut E. D. and Veraart, Luitgard A. M. ORCID: 0000-0003-1183-2227
(2014)
Modelling electricity day-ahead prices by multivariate Lévy semistationary processes.
In: Benth, Fred Espen, Kholodnyi, Valery A. and Laurence, Peter, (eds.)
Quantitative Energy Finance.
Springer Berlin / Heidelberg, New York, USA, pp. 157-188.
ISBN 9781461472476
Gandy, Axel and Veraart, Luitgard A. M. ORCID: 0000-0003-1183-2227
(2013)
The effect of estimation in high-dimensional portfolios.
Mathematical Finance, 23 (3).
pp. 531-559.
ISSN 0960-1627
Rogers, L.C.G. and Veraart, Luitgard A. M. ORCID: 0000-0003-1183-2227
(2013)
Faliure and rescue in an interbank network.
Management Science, 59 (4).
pp. 882-898.
ISSN 0025-1909
Veraart, Almut E. D. and Veraart, Luitgard A. M. ORCID: 0000-0003-1183-2227
(2012)
Stochastic volatility and stochastic leverage.
Annals of Finance, 8 (2-3).
pp. 205-233.
ISSN 1614-2446
Bäuerle, Nicole, Urban, Sebastian and Veraart, Luitgard A. M. ORCID: 0000-0003-1183-2227
(2012)
The relaxed investor with partial information.
SIAM Journal on Financial Mathematics, 3 (1).
pp. 304-327.
ISSN 1945-497X
Bauerle, N. and Veraart, Luitgard A. M. ORCID: 0000-0003-1183-2227
(2011)
Einblicke in die Finanzmathematik: Optionsbewertung und Portfolio-Optimierung.
In: Wendland, Katrin and Werner, Annette, (eds.)
Facettenreiche Mathematik: Einblicke in Die Moderne Mathematische Forschung Für Alle, Die Mehr Von Mathematik Verstehen Wollen.
Vieweg & Teubner.
ISBN 9783834814142
Veraart, Luitgard A. M. ORCID: 0000-0003-1183-2227
(2011)
Optimal investment in the foreign exchange market with proportional transaction costs.
Quantitative Finance, 11 (4).
pp. 631-640.
ISSN 1469-7688
Veraart, Luitgard A. M. ORCID: 0000-0003-1183-2227
(2010)
Optimal market making in the foreign exchange market.
Applied Mathematical Finance, 17 (4).
pp. 359-372.
ISSN 1350-486X
Kiesel, Rüdiger and Veraart, Luitgard A. M. ORCID: 0000-0003-1183-2227
(2008)
A note on the survival probability in CreditGrades.
Journal of Credit Risk, 4 (2).
ISSN 1744-6619
Rogers, L.C.G. and Veraart, Luitgard A. M. ORCID: 0000-0003-1183-2227
(2008)
A stochastic volatility alternative to SABR.
Journal of Applied Probability, 45 (4).
pp. 1071-1085.
ISSN 0021-9002