Technical paper

• Original research

Value-at-risk levels implied by risk estimators drawn from historical data

• 27 Sep 2010

• Original research

On correlating Lévy processes

• 27 Sep 2010

• Original research

Empirical analysis of asymmetric long memory volatility models in value-at-risk estimation

• 27 Sep 2010

• Original research

Copula parameter estimation: numerical considerations and implications for risk management

• 27 Sep 2010

• Original research

Downside risk asset pricing revisited: a new non-linear threshold model

• 27 Sep 2010

• Original research

Modeling breach of contract risk through bundled options

• 27 Sep 2010

• Original research

Sanctions screening - the quest for efficiency and effectiveness

• 27 Sep 2010

• Original research

Observations on the new US financial regulation challenges to the financial sector: data standardization, straight-through-processing and operational risks

• 27 Sep 2010

• Original research

A review of the key issues in operational risk capital modeling

• 27 Sep 2010

• Original research

A spot price model for natural gas considering temperature as an exogenous factor and applications

Reseach Papers

• 20 Sep 2010

• Original research

The valuation of power futures based on optimal dispatch

Reseach Papers

• 20 Sep 2010

• Risk management

Modeling electricity forward prices using the multivariate normal inverse Gaussian distribution

Reseach Papers

• 20 Sep 2010

• Original research

Pricing electricity derivatives on an hourly basis

Reseach Papers

• 20 Sep 2010

• Original research

Valuation of commodity-based swing options

Reseach Papers

• 20 Sep 2010

• Original research

A behavioural finance-based tick-by-tick model for price and volume

• 19 Sep 2010

• Original research

The singular points binominal method for pricing American path-dependent options

• 19 Sep 2010

• Original research

Portfolio selection with marginal risk control

• 19 Sep 2010

• Original research

Correlation matrix with block structure and efficient sampling methods

• 19 Sep 2010

• Original research

The valuation of correlation-dependent credit derivatives using a structural model

• 17 Sep 2010

• Original research

An implied multi-factor model for bespoke collateralized debt obligation tranches and other portfolio credit derivatives

• 17 Sep 2010

• Original research

Pricing and hedging collateralized loan obligations with implied factor models

• 17 Sep 2010

• Original research

Credit rating accuracy and incentives

• 17 Sep 2010