Natalie Packham

Publication Activity (10 Years)

Years Active: 2015-2016
Publications (10 Years): 1

Top Topics

Dynamic Analysis

Expected Values

Nonmonotonic Inference

Top Venues

Finance Stochastics

J. Appl. Probab.

Publications

Natalie Packham, Michael Kalkbrener, Ludger Overbeck
Asymptotic behaviour of multivariate default probabilities and default correlations under stress. J. Appl. Probab. 53 (1) (2016)
Philipp A. Mayer, Natalie Packham, Wolfgang M. Schmidt
Static hedging under maturity mismatch. Finance Stochastics 19 (3) (2015)