Technical paper
Correlations in asynchronous markets
Correlations in asynchronous markets
Post-shock short-rate pricing
Post-shock short-rate pricing
Option pricing and hedging in the presence of cross-hedge risk
Hedging portfolio risk
Risk appetite of long-term investors shows mixed attitude towards illiquid assets
Choosing the right mix of liquid and illiquid investments
Smiling jumps
Smiling jumps
Two curves, one price
The financial crisis multiplied the yield curves used to price interest rate derivatives, making traditional no arbitrage pricing no longer valid. By taking into account the basis adjustment bootstrapped from market basis swaps and using a foreign…
Breaking correlation breaks
Breaking correlation breaks
Shortfall factor contributions
Shortfall factor contributions
The valuation of power futures based on optimal dispatch
Reseach Papers
Pricing electricity derivatives on an hourly basis
Reseach Papers