Technical paper

• Original research

Arbitrage, martingales, and private monetary value

• 01 Oct 2000

• Original research

Risk management and reporting risk in the UK

• 01 Oct 2000

• Original research

A dynamic asset allocation model with downside risk control

• 01 Oct 2000

• Original research

Evaluation of credit risk of a portfolio with stochastic interest rate and default processes

• 01 Oct 2000

• Original research

Computation of value-at-risk for nonlinear portfolios

• 01 Oct 2000

• Infrastructure

Getting the pricing right

Credit risk

• 01 Sep 2000

• Infrastructure

Static barriers

Exotic options

• 01 Sep 2000

• Infrastructure

Getting the pricing right

Credit risk

• 01 Sep 2000

• Infrastructure

A mixed-up smile

Implied volatility

• 01 Sep 2000

• Original research

A mathematical programming with equilibrium constraints approach to the implied volatility surface of American options

• 01 Sep 2000

• Original research

Valuing moving barrier options

• 01 Sep 2000

• Original research

Numerical inversion of Laplace transforms: a survey of techniques with applications to derivative pricing

• 01 Sep 2000

• Original research

LP valuation of exotic American options exploiting structure

• 01 Sep 2000

• Original research

Krylov subspace reduction and its extensions for option pricing

• 01 Sep 2000

• Original research

Option pricing and linear complementarity

• 01 Sep 2000

• Original research

The singularity-separating method for two-factor convertible bonds

• 01 Sep 2000

• Original research

The pricing of discretely sampled Asian and lookback options: a change of numeraire approach

• 01 Sep 2000

• Original research

Valuation of mortgage-backed securities using Brownian bridges to reduce effective dimension

• 01 Sep 2000

• Original research

Fast greeks by simulation in forward LIBOR models

• 01 Sep 2000

• Original research

A PDE method for computing moments

• 01 Sep 2000

• Original research

A Bayesian approach for constructing implied volatility surfaces through neural networks

• 01 Sep 2000

• Original research

A technique for calibrating derivative security pricing models: numerical solution of an inverse problem

• 01 Sep 2000

• Original research

Approximating American options and other financial contracts using barrier derivatives

• 01 Sep 2000

• Original research

Discrete Asian barrier options

• 01 Sep 2000