Journals

• Original research

Unbiased Monte Carlo valuation of lookback, swing and barrier options with continuous monitoring under variance gamma models

• 11 Jun 2010

• Original research

Numerical techniques for the valuation of basket options and their Greeks

• 11 Jun 2010

• Original research

Evaluation of parameter risk via first order approximation of distortion risk measures

• 28 Mar 2010

• Original research

Capital charges for operational risk in the Indian banking sector: alternative measures

• 28 Mar 2010

• Original research

A model for managing online fraud risk using transaction validation

• 28 Mar 2010

• Original research

Combining operational loss data with expert opinions through advanced credibility theory

• 28 Mar 2010

• Original research

Measuring concentration risk for regulatory purposes

• 27 Mar 2010

• Original research

Dynamic asset allocation with jump risk

• 27 Mar 2010

• Original research

On the aggregation of risk

• 27 Mar 2010

• Original research

Stochastic kriging for efficient nested simulation of expected shortfall

• 27 Mar 2010

• Original research

Impact of VPP on the day-ahead market in France

Research Papers

• 26 Mar 2010

• Original research

Modeling and forecasting electricity consumption by functional data analysis

Research Papers

• 26 Mar 2010

• Original research

Modeling Nord Pool's NO1 area price

Research Papers

• 26 Mar 2010

• Original research

Corporate risk management in European energy markets

Research Papers

• 26 Mar 2010

• Original research

Intra-daily smoothing splines for time-varying regression models of hourly electricity load

Research Papers

• 26 Mar 2010

• Original research

Credit migration risk modeling

• 19 Mar 2010

• Original research

From actual to risk-neutral default probabilities: Merton and beyond

• 19 Mar 2010

• Original research

Extracting systematic factors in a continuous-time credit migration model

• 19 Mar 2010

• Original research

Penalty methods for continuous-time portfolio selection with proportional transaction costs

• 17 Mar 2010

• Original research

A high-order front-tracking finite difference method for pricing American options under jump-diffusion models

• 17 Mar 2010