Journal of Risk
ISSN:
1465-1211 (print)
1755-2842 (online)
Editor-in-chief: Farid AitSahlia
Volume 3, Number 2 (Winter 2000)
Editor's Letter
Welcome to Volume 3 Issue 2 of The Journal of Risk. This issue is made up of 4 technical papers: ‘Optimal execution of portfolio transactions' by Robert Almgren from the University of Toronto and Neil Chriss from ICor Brokerage Inc.; ‘Vega risk and the smile' by Allan M. Malz from The RiskMetrics Group; ‘Improving grid-based methods for estimating value-at-risk of fixed-income portfolios' by Michael S. Gibson and Matthew Pritsker from the Federal Reserve Board; and ‘Bits, bets, and making book on an index' by George S. Oldfield from the College of William and Mary.