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Henry Schellhorn
Information about the author Henry Schellhorn will soon be added to the site.
Found
5 papers
in total
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Date Ascending
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A trading mechanism contingent on several indices
2011
We introduce a trading mechanism where the execution of an order on a security can be...
A theoretical argument why the t-copula explains credit risk contagion better than the Gaussian copula
2010
One of the key questions in credit dependence modelling is the specfication of the...
Credit risk in a network economy
2007
We develop a structural model of credit risk in a network economy, where any firm can...
A formulation of combinatorial auction via reverse convex programming
2005
In combinatorial auctions, buyers and sellers bid not only for single items but also...
Combination trading with limit orders
1997
We model the exchange of commodities that are contingent upon each other, when traders...
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