Technical paper
Dynamic asset allocation
Technical papers
Kalibrierung - Markov-Projektion zur Kalibrierung der Volatilität
Der Neueste Stand
Realised volatility and variance: options via swaps
Peter Carr and Roger Lee present explicit and readily applicable formulas for valuing options on realised variance and volatility. They use variance and volatility swaps - or alternatively vanilla options - as pricing benchmarks and hedging instruments…
Expected shortfall - una coda in due parti
APPROFONDIMENTI. RISCHIO DEL PORTAFOGLIO CREDITI
Risk contributions from generic user-defined factors
In this article, Attilio Meucci draws on regression analysis to decompose volatility, value-at-risk and expected shortfall into arbitrary combinations or aggregations of risk factors, and presents a simple recipe to implement this approach in practice
Modelling inflation
Lars Kjaergaard models inflation using a three-factor Gaussian method. This gives a simple description of derivatives linked to inflation and interest rates, and allows for fast evaluation. He then shows how the model can be calibrated
Modelling CDO tranches with dependent loss given default
Guido Giese presents an analytic methodology for pricing collateralised debt obligations tranches including stochastic and dependent loss given default
