Journals

• Original research

Risk–return-efficient target-volatility strategies

Volume 3, Issue 3 (2014)

• 29 Jun 2014

• Original research

Two centuries of trend following

Volume 3, Issue 3 (2014)

• 29 Jun 2014

• Risk management

Robust calibration of financial models using Bayesian estimators

• 29 Jun 2014

• Credit risk

Usage and exposures at default of corporate credit lines: an empirical study

• 30 Mar 2014

• Credit risk

Backtesting counterparty risk: how good is your model?

• 30 Mar 2014

• Credit risk

Modeling the credit contagion channel and its consequences via the standard portfolio credit risk model

• 30 Mar 2014

• Credit risk

Dynamic affordability assessment: predicting an applicant’s ability to repay over the life of the loan

• 30 Mar 2014

• Risk management

Quadratic finite element and preconditioning methods for options pricing in the SVCJ model

• 30 Mar 2014

• Original research

Robust Bayesian allocation

• 30 Mar 2014

• Risk management

Monte Carlo pricing in the Schöbel–Zhu model and its extensions

• 30 Mar 2014

• Original research

Optimal diversification

• 30 Mar 2014

• Risk management

Assimilating operational risks in common trading systems

• 30 Mar 2014

• Risk management

TR-BDF2 for fast stable American option pricing

• 30 Mar 2014

• Original research

Are commodity futures a good hedge against inflation?

• 30 Mar 2014

• Risk management

Robust and accurate Monte Carlo simulation of (cross-) Gammas for Bermudan swaptions in the LIBOR market model

• 30 Mar 2014