Items where Author is "Veraart, Luitgard A. M."

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

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 ORCID: 0000-0001-9473-263X 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