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Luitgard A. M. Veraart
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Citado por
Citado por
Año
Failure and rescue in an interbank network
LCG Rogers, LAM Veraart
Management Science 59 (4), 882-898, 2013
4472013
A Bayesian methodology for systemic risk assessment in financial networks
A Gandy, LAM Veraart
Management Science 63 (12), 4428-4446, 2017
1512017
Distress and default contagion in financial networks
LAM Veraart
Mathematical Finance 30 (3), 705-737, 2020
572020
Interbank clearing in financial networks with multiple maturities
M Kusnetsov, LAM Veraart
SIAM Journal on Financial Mathematics 10 (1), 37-67, 2019
532019
Stochastic volatility and stochastic leverage
AED Veraart, LAM Veraart
Annals of Finance 8 (2), 205-233, 2012
522012
Modelling electricity day-ahead prices by multivariate Lévy semistationary processes
AED Veraart, LAM Veraart
Quantitative Energy Finance: Modeling, Pricing, and Hedging in Energy and …, 2013
502013
Stochastic volatility and stochastic leverage
AED Veraart, LAM Veraart
Annals of Finance 8 (2), 205-233, 2012
472012
Adjustable network reconstruction with applications to CDS exposures
A Gandy, LAM Veraart
Journal of Multivariate Analysis 172, 193-209, 2019
402019
When does portfolio compression reduce systemic risk?
LAM Veraart
Mathematical Finance 32 (3), 727-778, 2022
252022
Pricing q-forward contracts: an evaluation of estimation window and pricing method under different mortality models
PM Barrieu, LAM Veraart
Scandinavian Actuarial Journal 2016 (2), 146-166, 2016
222016
A stochastic volatility alternative to SABR
LCG Rogers, LAM Veraart
Journal of Applied Probability 45 (4), 1071-1085, 2008
222008
The Effect of Estimation in High‐Dimensional Portfolios
A Gandy, LAM Veraart
Mathematical Finance: An International Journal of Mathematics, Statistics …, 2013
202013
The Effect of Estimation in High–dimensional Portfolios
A Gandy, LAM Veraart
Mathematical finance, 0
20*
The relaxed investor with partial information
N Bäuerle, SP Urban, LAM Veraart
SIAM Journal on Financial Mathematics 3 (1), 304-327, 2012
192012
Risk premiums in energy markets
AED Veraart, LAM Veraart
The Journal of Energy Markets 6 (4), 91, 2013
16*2013
Optimal market making in the foreign exchange market
LAM Veraart
Applied Mathematical Finance 17 (4), 359-372, 2010
142010
How do secured funding markets behave under stress? Evidence from the gilt repo market
AC Hüser, C Lepore, LAM Veraart
Bank of England Working Paper, 2021
132021
How does the repo market behave under stress? Evidence from the COVID-19 crisis
AC Hüser, C Lepore, L Veraart
IMF Working Papers 2021 (267), 2021
122021
Optimal investment in the foreign exchange market with proportional transaction costs
LAM Veraart
Quantitative Finance 11 (4), 631-640, 2011
102011
Optimal diversification in the presence of parameter uncertainty for a risk averse investor
MS Dubois, LAM Veraart
SIAM Journal on Financial Mathematics 6 (1), 201-241, 2015
72015
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Artículos 1–20