Journals

• 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

• Original research

Modeling and optimizing risk in the strategic gas-purchase planning problem of local distribution companies

• 14 Sep 2011

• Original research

Future spot gas prices in the US and the UK: are movements more influenced by country factors or by global factors?

• 14 Sep 2011

• Original research

Using Tukey's g and h family of distributions to calculate value-at-risk and conditional value-at-risk

• 17 Jun 2011

• Original research

Risk-minimization hedging under nonoptimal exercising

• 17 Jun 2011

• Original research

Assessing the influence of spot price predictability on electricity futures hedging

• 17 Jun 2011

• Original research

A value-at-risk analysis of credit default swaps

• 17 Jun 2011

• Original research

Transfer risk under Basel Pillar 1

• 16 Jun 2011