Journals

• Original research

Minimal partial proxy simulation schemes for generic and robust Monte Carlo Greeks.

• 11 Jan 2012

• Original research

A simple discretization scheme for nonnegative diffusion processes with applications to option pricing.

• 11 Jan 2012

• Original research

Ordered contribution allocations: theoretical properties and applications

• 21 Sep 2011

• Original research

Markets, profits, capital, leverage and return

• 21 Sep 2011

• Original research

Estimating future transition probabilities when the value of side information decays, with applications to credit modeling

• 21 Sep 2011

• Original research

Time dynamic and hierarchical dependence modeling of a supervisory portfolio of banks: a multivariate nonparametric approach

• 21 Sep 2011

• Original research

Simulation and estimation of loss given default

• 20 Sep 2011

• Original research

Partial differential equation representations of derivatives with bilateral counterparty risk and funding costs

• 20 Sep 2011

• Original research

Is credit risk really higher in Islamic banks?

• 20 Sep 2011

• Original research

Credit default swap trees

• 20 Sep 2011

• Original research

An empirical comparative analysis of foreign exchange smile calibration procedures

Research Papers

• 16 Sep 2011

• Original research

Pricing timer options

• 16 Sep 2011

• Original research

Strange facts about the marginal distributions of processes based on the Ornstein-Uhlenbeck process

• 16 Sep 2011

• Original research

Robust optimization of currency portfolios

Research Papers

• 16 Sep 2011

• Original research

Gasoline price volatility and presidential elections in the United States: a linear model approach

• 14 Sep 2011

• Original research

High-frequency oil-foreign-exchange interdependence

• 14 Sep 2011