Concepedia

Daniel Egloff

DE

9

Publications

720

Citations

9

H-Index

2004

Active since

Affiliations

University of Zurich(Current)

Swiss Finance Institute

Baruch College

Daniel Egloff is an author at University of Zurich specializing in finance, engineering, and business.

Top concepts

Publications per year

2004–2011

9

Publications

9

The Term Structure of Variance Swap Rates and Optimal Variance Swap Investments

Daniel Egloff, Markus Leippold, Liuren Wu · Journal of Financial and Quantitative Analysis · 2010 · 262 citations · Full text

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Monte Carlo algorithms for optimal stopping and statistical learning

Daniel Egloff · The Annals of Applied Probability · 2005 · 131 citations · Full text

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A simple model of credit contagion

Daniel Egloff, Markus Leippold, Paolo Vanini · Journal of Banking & Finance · 2007 · 110 citations

, , +6

A dynamic look-ahead Monte Carlo algorithm for pricing Bermudan options

Daniel Egloff, Michael Köhler, Neboǰsa Todorović · The Annals of Applied Probability · 2007 · 65 citations · Full text

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Variance Risk Dynamics, Variance Risk Premia, and Optimal Variance Swap Investments

Markus Leippold, Liuren Wu, Daniel Egloff · SSRN Electronic Journal · 2007 · 39 citations · Full text

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