Adam Metzler
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List of research outcomes
This list is not complete and representing at the moment only items from zbMATH Open and arXiv. We are working on additional sources - please check back here soon!
| Publication | Date of Publication | Type |
|---|---|---|
| State dependent correlations in the Vasicek default model Dependence Modeling | 2021-05-07 | Paper |
| A structural framework for modelling contingent capital Quantitative Finance | 2018-11-19 | Paper |
| A general importance sampling algorithm for estimating portfolio loss probabilities in linear factor models Insurance Mathematics & Economics | 2015-09-14 | Paper |
| Valuation and analysis of zero-coupon contingent capital bonds Mathematics and Financial Economics | 2015-04-29 | Paper |
| Rare event simulation for diffusion processes via two-stage importance sampling Monte Carlo Methods and Applications | 2014-06-30 | Paper |
| The Laplace transform of hitting times of integrated geometric Brownian motion Journal of Applied Probability | 2013-04-25 | Paper |
| On the first passage problem for correlated Brownian motion Statistics & Probability Letters | 2010-03-01 | Paper |
Research outcomes over time
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