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Felix L. Wolf
Felix L. Wolf
Université libre de Bruxelles
Verified email at ulb.be
Title
Cited by
Cited by
Year
Accelerated computations of sensitivities for xVA
G Deelstra, LA Grzelak, FL Wolf
International Journal of Computer Mathematics 101 (8), 842-864, 2024
42024
Cheapest-to-deliver collateral: a common factor approach
FL Wolf, LA Grzelak, G Deelstra
Quantitative Finance 22 (4), 707-723, 2022
32022
Consistent asset modelling with random coefficients and switches between regimes
FL Wolf, G Deelstra, LA Grzelak
Mathematics and Computers in Simulation 223, 65-85, 2024
2024
Stochastic models in xVA: with applications to collateralisation and exposure simulation
FL Wolf
Université libre de Bruxelles, 2024
2024
Sensitivities and Hedging of the Collateral Choice Option
G Deelstra, LA Grzelak, FL Wolf
International Journal of Theoretical and Applied Finance 25 (06), 2250027, 2022
2022
The Coupling Time Problem for Regime-Switching Martingales and Geometric Brownian Motions
FL Wolf
Rheinische Friedrich-Wilhelms-Universität Bonn, 2018
2018
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Articles 1–6