Journals

• Original research

Firm specific option risk and implications for asset pricing

• 01 Oct 2009

• Original research

Competitive equilibrium in insurance markets under adverse selection and non-expected utility

• 01 Oct 2009

• Original research

Hedging under alternative stickiness assumptions: an empirical analysis for barrier options

• 01 Oct 2009

• Original research

Yield curve risk management: adjusting principal component analysis for model errors

• 01 Oct 2009

• Original research

Measuring causal influences in operational risk

• 30 Sep 2009

• Original research

Operational risk quantification using extreme value theory and copulas: from theory to practice

• 30 Sep 2009

• Original research

Bayesian analysis of extreme operational losses

• 30 Sep 2009

• Forum

Swiss cheese and the PRiMA model: what can information technology learn from aviation accidents?

• 30 Sep 2009

• Original research

Modeling electricity prices by potential Lévy diffusions

Research Papers

• 30 Sep 2009

• Original research

Integrating multiple commodities in a model of stochastic price dynamics

Research Papers

• 30 Sep 2009

• Original research

The information premium for non-storable commodities

Research Papers

• 30 Sep 2009

• Original research

Cointegration between gas and power spot prices

Research Papers

• 30 Sep 2009

• Original research

Electricity futures prices: some evidence on forecast power at NordPool

Research Papers

• 30 Sep 2009

• Original research

Double-t copula pricing of structured credit products: practical aspects of a trustworthy implementation

• 29 Sep 2009

• Original research

On pricing risky loans and collateralized fund obligations

• 29 Sep 2009

• Original research

Pricing kth-to-default swaps in a Lévy-time framework

• 29 Sep 2009

• Original research

CDO pricing with expected loss parametric interpolation

• 29 Sep 2009

• Original research

Valuing CDOs of bespoke portfolios with implied multi-factor models

• 29 Sep 2009

• Original research

Markovian projection onto a Heston model

• 24 Sep 2009

• Original research

A tree-based method to price American options in the Heston model

• 24 Sep 2009

• Original research

Computational techniques for basic affine models of portfolio credit risk

• 24 Sep 2009

• Original research

Saddlepoint methods for option pricing

• 24 Sep 2009