CPQF Working Paper Series

From Frankfurt School of Finance and Management, Centre for Practical Quantitative Finance (CPQF)
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33: Das Geschäft mit Derivaten und strukturierten Produkten: Welche Rolle spielt die Bank?: Wolfgang M. Schmidt
32: The impact of network inhomogeneities on contagion and system stability: Arnd Hübsch and Ursula Walther
31: Size matters! How position sizing determines risk and return of technical timing strategies: Peter Scholz
30: Volatilität als Investment: Diversifikationseigenschaften von Volatilitätsstrategien: Nils Detering, Qixiang Zhou and Uwe Wystup
29: The trend is not your friend! Why empirical timing success is determined by the underlying's price characteristics and market efficiency is irrelevant: Peter Scholz and Ursula Walther
28: Characteristic functions in the Cheyette Interest Rate Model: Ingo Beyna and Uwe Wystup
27: Return distributions of equity-linked retirement plans: Nils Detering, Andreas Weber and Uwe Wystup
26: Ratings of structured products and issuers' commitments: Carlos Veiga and Uwe Wystup
25: On the calibration of the Cheyette interest rate model: Ingo Beyna and Uwe Wystup
24: Investment certificates under German taxation: Benefit or burden for structured products' performance?: Peter Scholz and Ursula Walther
23: Unifying exotic option closed formulas: Manuel L. Esquível, Carlos Veiga and Uwe Wystup
22: Credit gap risk in a first passage time model with jumps: Natalie Packham, Lutz Schlögl and Wolfgang M. Schmidt
21: Credit dynamics in a first passage time model with jumps: Natalie Packham, Lutz Schlögl and Wolfgang M. Schmidt
20: FX volatility smile construction: Dimitri Reiswich and Uwe Wystup
19: Potential PCA interpretation problems for volatility smile dynamics: Dimitri Reiswich and Robert Tompkins
18: Forward-start options in the Barndorff-Nielsen-Shephard Model: Martin Keller-Ressel and Fiodar Kilin
17: On the valuation of fader and discrete barrier options in Heston's Stochastic Volatility Model: Susanne Griebsch and Uwe Wystup
16: Closed formula for options with discrete dividends and its derivatives: Carlos Veiga and Uwe Wystup
15: Latin hypercube sampling with dependence and applications in finance: Natalie Packham and Wolfgang M. Schmidt
14: FX basket options: Jürgen Hakala and Uwe Wystup
13: Vergleich von Anlagestrategien bei Riesterrenten ohne Berücksichtigung von Gebühren: Eine Simulationsstudie zur Verteilung der Renditen: Andreas Weber and Uwe Wystup
12: Riesterrente im Vergleich: Eine Simulationsstudie zur Verteilung der Renditen: Andreas Weber and Uwe Wystup
11: Vanna-volga pricing: Uwe Wystup
10: Foreign exchange quanto options: Uwe Wystup
9: Foreign exchange symmetries: Uwe Wystup
8: Was kostet eine Garantie? Ein statistischer Vergleich der Rendite von langfristigen Anlagen: Christoph Becker and Uwe Wystup
7: Default swaps and hedging credit baskets: Wolfgang M. Schmidt
6: Accelerating the calibration of stochastic volatility models: Fiodar Kilin
5: Instalment options: a closed-form solution and the limiting case: Susanne Griebsch, Christoph Kühn and Uwe Wystup
4: Interest rate convexity and the volatility smile: Wolfram Boenkost and Wolfgang M. Schmidt
3: On the cost of delayed currency fixing announcements: Christoph Becker and Uwe Wystup
2: Cross currency swap valuation: Wolfram Boenkost and Wolfgang M. Schmidt
1: Efficient computation of option price sensitivities for options of American style: Christian Wallner and Uwe Wystup