Technical paper/Monte Carlo simulation

• Risk management

Analysis of credit portfolio risk using hierarchical multifactor models

• 19 Dec 2014

• Risk management

Pricing American-style options by Monte Carlo simulation: alternatives to ordinary least squares

The authors investigate the performance of the ordinary least squares (OLS) regression method in Monte Carlo simulation algorithms for pricing American options.

• 30 Sep 2014

• Risk management

Value function approximation or stopping time approximation: a comparison of two recent numerical methods for American option pricing using simulation and regression

• 30 Sep 2014

• Original research

Optimal timing of wind farm repowering: a two-factor real options analysis

• 30 Sep 2014

• Risk management

Risk analysis probability of default: a stochastic simulation model

• 30 Sep 2014

• Risk management

Efficient Monte Carlo counterparty credit risk pricing and measurement

• 30 Sep 2014

• Original research

Pricing and hedging multiasset spread options using a three-dimensional Fourier cosine series expansion method

• 30 Jun 2014

• Original research

Risk evaluation of mortgage-loan portfolios in a low interest rate environment

Volume 16, Issue 5 (2014)

• 29 Jun 2014

• Risk management

Credit risk contributions under the Vasicek one-factor model: a fast wavelet expansion approximation

• 29 Jun 2014

• Risk management

Robust and accurate Monte Carlo simulation of (cross-) Gammas for Bermudan swaptions in the LIBOR market model

• 30 Mar 2014

• Operational risk

Operational risk dependencies and the determination of risk capital

• 19 Dec 2013

• 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

• 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