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Stephan Sturm · Study

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Stephan Sturm

3 works· latest 2018· 2 institutionscluster: provisionalORCID 0000-0002-7214-8843

h-index3

i103

Citations132

Works here3

11

17

18

Most cited in this library

On refined volatility smile expansion in the Heston model2011 · 53 citations
Arbitrage‐free XVA2017 · 48 citations
Sensitivity of the Eisenberg--Noe Clearing Vector to Individual Interbank Liabilities2018 · 31 citations

Works

3 shown

Sensitivity of the Eisenberg--Noe Clearing Vector to Individual Interbank Liabilities

SIAM Journal on Financial Mathematics·2018·5 authors·Open access

31citations

Arbitrage‐free XVA

Mathematical Finance·2017·2 authors·Open access

48citations

On refined volatility smile expansion in the Heston model

Quantitative Finance·2011·4 authors

53citations