Journals

• Forum

Problems & Solutions: Probabilities of Default

There are many interesting issues surrounding credit risk that are of both practical and academic interest. The Problems and Solutions section aims to engage readers in active discussion and debate of such issues. Readers are encouraged to post questions…

• 01 Jan 2005

• Forum

Issues in the pricing of synthetic CDOs

• 01 Jan 2005

• Forum

Book Review: Credit Risk Modeling: Theory and Applications

• 01 Jan 2005

• Original research

A correlation estimation method for CDO equity

• 01 Jan 2005

• Original research

Extensions to the Gaussian copula: random recovery and random factor loadings

• 01 Jan 2005

• Original research

Merton's model, credit risk and volatility skews

• 01 Jan 2005

• Original research

Option pricing using the fractional FFT

• 01 Jan 2005

• Original research

Pricing and hedging callable Libor exotics in forward Libor models

• 01 Jan 2005

• Original research

Optimal portfolio series formula under dynamic appreciation rate uncertainty

• 01 Jan 2005

• Original research

Efficient pricing of Asian options by the PDE approach

• 01 Jan 2005

• Original research

Sequential defaults and incomplete information

• 29 Oct 2004

• Original research

Unconstrained fitting of implied volatility surfaces using a mixture of normals

• 29 Oct 2004

• Original research

A percolation approach to modeling credit loss distribution under contagion

• 29 Oct 2004

• Original research

A conditional independence approach for portfolio risk evaluation

• 29 Oct 2004

• Original research

Risk-sensitive portfolio optimization with transaction costs

• 22 Sep 2004

• Original research

Analysis of the stability of the linear boundary condition for the Black–Scholes equation

• 22 Sep 2004

• Original research

Fast drift-approximated pricing in the BGM model

• 22 Sep 2004

• Original research

Numerical pricing of discrete barrier and lookback options via Laplace transforms

• 22 Sep 2004

• Original research

Convergence of the stochastic mesh estimator for pricing Bermudan options

• 22 Jul 2004

• Original research

A stochastic mesh method for pricing high-dimensional American options

• 22 Jul 2004

• Original research

Technical note: Dependence and two-asset options pricing

• 22 Jul 2004

• Original research

Computing hitting time densities for CIR and OU diffusions: applications to mean-reverting models

• 22 Jul 2004

• Original research

An empirical investigation of the rank correlation between different risk measures

• 20 Jul 2004

• Original research

Assessing fiscal sustainability under uncertainty

• 20 Jul 2004