Monte Carlo simulation

• Risk management

High-order discretization schemes for stochastic volatility models

• 19 Dec 2013

• Original research

Individual and flexible expected shortfall backtesting

• 30 Sep 2013

• Operational risk

Using a time series approach to correct serial correlation in operational risk capital calculation

• 30 Sep 2013

• Risk management

The evaluation of American compound option prices under stochastic volatility and stochastic interest rates

• 30 Sep 2013

• Interest rate markets

Fast gammas for Bermudan swaptions

Fast gammas for Bermudan swaptions

• 15 Aug 2013

• Interest rate markets

SABR spreads its wings

SABR spreads its wings

• 25 Jul 2013

• Risk management

Tracking value-at-risk through derivative prices

• 27 Jun 2013

• Risk management

An application to credit risk of a hybrid Monte Carlo–optimal quantization method

• 27 Jun 2013

• Original research

Deriving the minimal amount of risk capital for property-liability insurance companies utilizing asset liability management

• 27 Jun 2013

• Original research

An algorithmic model for retail credit portfolio segmentation

• 27 Jun 2013

• Original research

Modeling value-at-risk for international portfolios in different jump-diffusion processes

• 27 Jun 2013

• Risk management

Pricing high-dimensional Bermudan options using variance-reduced Monte Carlo methods

• 27 Mar 2013

• Technology

What tomorrow's hardware means for today's risk systems

The case for dynamic efficiency

• 25 Feb 2013

• Markets

Rational shapes of local volatility

Rational shapes of local volatility

• 29 Jan 2013

• Energy

Cutting edge: Hedging price and volumetric risks of fixed-price load-serving contracts in natural gas markets

Cutting edge: Hedging price and volumetric risks of fixed-price load-serving contracts in natural gas markets

• 18 Jan 2013

• Credit risk

Credit default swap spreads, fair-value spreads and interest rate dynamics

• 18 Dec 2012

• Credit risk

Calibration of structural and reduced-form recovery models

• 18 Dec 2012

• Original research

Scientific stochastic volatility models for the European energy market: forecasting and extracting conditional volatility

• 18 Dec 2012

• Risk management

Adjoint Greeks made easy

Adjoint Greeks made easy

• 01 Nov 2012

• Original research

Failure of the saddlepoint method in the presence of double defaults

• 27 Sep 2012

• Central banks

Estimating the intraday liquidity risk of financial institutions: a Monte Carlo simulation approach

• 27 Sep 2012

• Structured products

Technology innovation: Numerix

Structured Products Asia Awards 2012

• 13 Sep 2012

• Markets

Adjoint Greeks made easy

Adjoint Greeks made easy

• 03 Sep 2012

• Cutting Edge

Adjusting value-at-risk for market liquidity

Adjusting value-at-risk for market liquidity

• 26 Jul 2012