Technical paper
An easy-to-hedge covariance swap
An easy-to-hedge covariance swap
Cutting Edge introduction: Computation, computation, computation
Computation, computation, computation
Cutting edge: Marketing of renewable energy in the German market
Marketing of renewable energy - The German market: a case study
Quadratic Gaussian inflation
Quadratic Gaussian inflation
Adjoint Greeks made easy
Adjoint Greeks made easy
Non-linear mixture of asset return models
Non-linear mixture of asset return models
Model foundations of Basel III standardised CVA charge
The credit valuation adjustment (CVA) capital charge in Basel III comes in two flavours: advanced (simulations) and standardised (formula). In this article, Michael Pykhtin shows that the standardised CVA charge formula can be obtained by adding several…
Cutting Edge introduction: Followers of fashion
Focusing on how often a trading strategy ends on the winning side can distract from the question of whether it profits on average. The key is in the return distribution’s skew – and at least for trend-following strategies this can be directly controlled…
Applied risk management series: modelling spreads in energy markets
Implications for valuation and risk management of spread options
Risk 25: Cutting edge classics
Don’t say we didn’t warn you
Copulas and credit models
Copulas and credit models
Adjusting value-at-risk for market liquidity
Adjusting value-at-risk for market liquidity
Cooking with collateral
Cooking with collateral