Editor: Philippe Jorion
Published: 01 Jan 2001
Papers in this issue
by Allan M. Malz
by George S. Oldfield
by Robert Almgren, Neil Chriss
by Michael S. Gibson and Matthew Pritsker
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.
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