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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

Journal of Risk Model Validation

Original research

A framework for loss given default validation of retail portfolios

28 Mar 2010

Journal of Risk Model Validation

Original research

Sensitivities and worst-case correlations for hitting probabilities of portfolio tranches

28 Mar 2010

Journal of Risk Model Validation

Original research

Effective modeling of wrong way risk, counterparty credit risk capital and alpha in Basel II

28 Mar 2010

Journal of Risk Model Validation

Original research

The performance of value-at-risk models during the crisis

28 Mar 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

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