Editor: Philippe Jorion
Published: 01 Jan 2001
Papers in this issue
by Allan M. Malz
by George S. Oldfield
by Michael S. Gibson and Matthew Pritsker
by Robert Almgren, Neil Chriss
Welcome to Volume 3 Issue 2 of The Journal of Risk. This issue is made up of 4 technical papers: ‘Optimal execution of portfolio transactions' by Robert Almgren from the University of Toronto and Neil Chriss from ICor Brokerage Inc.; ‘Vega risk and the smile' by Allan M. Malz from The RiskMetrics Group; ‘Improving grid-based methods for estimating value-at-risk of fixed-income portfolios' by Michael S. Gibson and Matthew Pritsker from the Federal Reserve Board; and ‘Bits, bets, and making book on an index' by George S. Oldfield from the College of William and Mary.
Search the archive
Subscribe to gain access to The Journal of Risk and its valuable archive.
Call for papers
Submit your work and we can offer you:
Please contact firstname.lastname@example.org for more information.
Updating your subscription status
Risk iPad and iPhone Apps