Journals

• Original research

Pricing and hedging gap risk

• 17 Mar 2010

• Original research

Latin hypercube sampling with dependence and applications in finance

• 17 Mar 2010

• Forum

As risk management evolves, is operational risk management important?

• 16 Dec 2009

• Original research

Estimating operational risk capital for correlated, rare events

• 16 Dec 2009

• Original research

A modified Panjer algorithm for operational risk capital calculations

• 16 Dec 2009

• Original research

Hedging: scaling and the investor horizon

• 11 Dec 2009

• Original research

Russian gas to western Europe: a game-theoretic analysis

Research Papers

• 10 Dec 2009

• Original research

Intra-day risk premia in European electricity forward markets

Research Papers

• 10 Dec 2009

• Original research

Modeling conditional correlations for risk diversification in crude oil markets

Research Papers

• 10 Dec 2009

• Original research

Granularity in a qualitative factor model

• 10 Dec 2009

• Original research

Selecting credit portfolios for collateralized loan obligation transactions: a heuristic algorithm

• 10 Dec 2009

• Original research

Modeling credit exposure for collateralized counterparties

• 10 Dec 2009

• Original research

An improved multivariate Markov chain model for credit risk

• 10 Dec 2009

• Original research

Computing tails of compound distributions using direct numerical integration

• 09 Dec 2009

• Original research

Calibration of local volatility using the local and implied instantaneous variance

• 09 Dec 2009

• Original research

Measuring the error of dynamic hedging: a Laplace transform approach

• 09 Dec 2009

• Original research

Linking caplets and swaptions prices in the LMM-SABR model

• 09 Dec 2009