Technical paper
Spread options, Farkas's lemma and linear programming
Spread options, Farkas's lemma and linear programming
Robust optimization of currency portfolios
Research Papers
Spread options, Farkas's lemma and linear programming
Spread options, Farkas's lemma and linear programming
Bayesian lessons for payout structuring
Bayesian lessons for payout structuring
A new breed of copulas for risk and portfolio management
A new breed of copulas for risk and portfolio management
Cutting edge introduction
A popular copula
Cutting edge: solutions for three-asset spread options
A Kirk’s and a Bachelier’s formula for three-asset spread options