Computational finance

Risk management

Proper orthogonal decomposition for pricing options

31 Aug 2012

Risk management

Applications of periodic and quasiperiodic decompositions to options pricing

31 Aug 2012

Technology

Technology: Cloud on the horizon?

Cloud on the horizon?

06 Aug 2012

Original research

Pricing credit derivatives using an asymptotic expansion approach

28 Mar 2012

Original research

Fast pricing and calculation of sensitivities of out-of-the-money European options under Lévy processes

28 Mar 2012

Original research

A bias-reduction technique for Monte Carlo pricing of early-exercise options

28 Mar 2012

Original research

No-arbitrage SABR

28 Mar 2012

Original research

Pricing barrier and average options in a stochastic volatility environment.

11 Jan 2012

Original research

Pricing convertible bonds with call protection

11 Jan 2012

Original research

Minimal partial proxy simulation schemes for generic and robust Monte Carlo Greeks.

11 Jan 2012

Original research

A simple discretization scheme for nonnegative diffusion processes with applications to option pricing.

11 Jan 2012

Original research

An empirical comparative analysis of foreign exchange smile calibration procedures

Research Papers

16 Sep 2011

Original research

Pricing timer options

16 Sep 2011

Original research

Strange facts about the marginal distributions of processes based on the Ornstein-Uhlenbeck process

16 Sep 2011

Original research

Robust optimization of currency portfolios

Research Papers

16 Sep 2011

Credit risk

BAML's Lipton: discrete models essential to cut CVA computation costs – Video

Top quant says a CVA model that is 80% accurate but takes 20% of the time is "very attractive"

30 Jun 2011

Original research

Fast simplified approaches to Asian option pricing

Research Papers

16 Jun 2011

Original research

Fast and accurate Greeks for the LIBOR Market Model

16 Jun 2011

Original research

Adaptive and high-order methods for valuing American options

16 Jun 2011

Original research

Efficient Pricing of constant maturity swap spread options in a stochastic volatility LIBOR market model

Research Papers

16 Jun 2011

Original research

A multiname first-passage model for credit risk

22 Feb 2011

Original research

Fast Greeks by algorithmic differentiation

22 Feb 2011

Original research

Uncertain Volatility Model: A Monte-Carlo Approach

22 Feb 2011

Original research

Pricing corporate bonds in an arbitrary jump-diffusion model based on an improved Brownian-bridge algorithm

Research Papers

22 Feb 2011

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