Technical paper

• Original research

Pricing American options: a comparison of Monte Carlo simulation approaches

• 01 Apr 2001

• Original research

Control of credit risk collateralization using quasi-variational inequalities

• 01 Apr 2001

• Original research

Simple, fast and flexible pricing of Asian options

• 01 Apr 2001

• Infrastructure

Forward CMS rate adjustment

Constant maturity products

• 01 Mar 2001

• Infrastructure

Hedge your Monte Carlo

Option pricing

• 01 Mar 2001

• Infrastructure

Jumping in line

Emmanuel Acar and Bapi Maitra

• 01 Feb 2001

• Original research

Improving grid-based methods for estimating value-at-risk of fixed-income portfolios

• 01 Jan 2001

• Original research

Bits, bets, and making book on an index

• 01 Jan 2001

• Original research

Optimal execution of portfolio transactions

• 01 Jan 2001

• Original research

Vega risk and the smile

• 01 Jan 2001

• Original research

Deriving derivatives of derivative securities

• 01 Jan 2001

• Original research

A new algorithm for constructing implied binomial trees: does the implied model fit any volatility smile?

• 01 Jan 2001

• Original research

How to solve multiasset Black-Scholes with time-dependent volatility and correlation

• 01 Jan 2001

• Original research

Time transformations, intraday data, and volatility models

• 01 Jan 2001

• Original research

A closed-form solution for perpetual American floating strike lookback options

• 01 Jan 2001

• Infrastructure

Price and probability

Credit derivatives

• 01 Jan 2001

• Infrastructure

A fair value for the skew

Implied volatility

• 01 Jan 2001

• Infrastructure

Forward thinking

Forward simulation

• 01 Dec 2000

• Infrastructure

The taming of the skew

Implied volatility

• 01 Nov 2000

• Infrastructure

Depressing recoveries

Credit risk

• 01 Nov 2000

• Infrastructure

Take the long and short route

Investment management

• 01 Nov 2000

• Infrastructure

Margining the spread

Liquidity risk

• 01 Oct 2000

• Infrastructure

Breaking the silence

Liquidity risk

• 01 Oct 2000

• Original research

Comparison of cashflow maps for value-at-risk

• 01 Oct 2000