N. Packham

zbMath Openpackham.natalieWikidataQ102350521 ScholiaQ102350521MaRDI QIDQ2516767

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
Risk factor aggregation and stress testing Quantitative Finance	2025-01-06	Paper
Hedging cryptocurrency options Review of Derivatives Research	2024-03-19	Paper
Hedging cryptos with Bitcoin futures Quantitative Finance	2023-06-20	Paper
Tail-risk protection trading strategies Quantitative Finance	2018-11-19	Paper
Model risk of contingent claims Quantitative Finance	2018-11-14	Paper
Competition, bonuses, and risk-taking in the banking industry Review of Finance	2018-11-02	Paper
Optimal contracts under competition when uncertainty from adverse selection and moral hazard are present Statistics \& Probability Letters	2018-06-14	Paper
Asymptotic behaviour of multivariate default probabilities and default correlations under stress Journal of Applied Probability	2016-04-29	Paper
Static hedging under maturity mismatch Finance and Stochastics	2015-08-04	Paper
CORRELATION UNDER STRESS IN NORMAL VARIANCE MIXTURE MODELS Mathematical Finance	2015-04-24	Paper
Latin hypercube sampling with dependence and applications in finance The Journal of Computational Finance	2014-04-23	Paper
Credit gap risk in a first passage time model with jumps Quantitative Finance	2014-03-04	Paper
A Markov approach to credit rating migration conditional on economic states	N/A	Paper

Research outcomes over time

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