Cutting edge 2012: From stochastic volatility to shameful scams
Papers published in Risk this year touched on a diverse range of topics. Laurie Carver provides an overview and introduces the annual round-up of citations
Some years have obvious themes. In 2011, Risk’s technical section was dominated by work on the credit valuation adjustment (CVA) that reflects derivatives counterparty risk. The topic also figured in 2012, enabling counterparty credit expert Damiano Brigo of Imperial College to leapfrog Barclays’ Vladimir Piterbarg into first place in the rankings for the highest number of recent citations in Risk (table A - see link at the bottom of this article for all tables). But CVA was joined this year by
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