Journal of Computational Finance Editorial Board
Cornelis (Kees) Oosterlee - CWI National Research Center for Mathematics and Computer Science, and Delft University of Technology
Mark Broadie - Columbia University
Leif Andersen - Banc of America Securities, New York
Peter Carr - Morgan Stanley
M. A. H. Dempster - University of Cambridge
Darrell Duffie - Stanford University
Peter Forsyth - University of Waterloo
Mike Giles - Oxford University
Jonathan Goodman - New York University
Lech A. Grzelak - Rabobank International
Desmond J. Higham - University of Strathclyde
Yuying Li - University of Waterloo
Andrew Lo - Massachusetts Institute of Technology
Vladimir Piterbarg - Barclays Capital
Christoph Reisinger - University of Oxford
Chris Rogers - University of Cambridge
John Schoenmakers - Weierstrass Institute, Berlin
Artur Sepp - Bank of America Merrill Lynch
Kenneth Singelton - Stanford University
Reha Tutuncu - Goldman Sachs, New York
Carlos Vázquez Cendón - University of A Coruña
Kenneth Vetzal - University of Waterloo
Nancy Wallace - University of California, Berkeley
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Every week our editorial team deliver a range of email bulletins to ensure our readers know what is happening in their markets around the world.
This report covers the specific technologies required for firms to improve their ORM processes.
This paper looks at the different types of optimization for these trades, how they are calculated, and how the different optimization groups are interrelated. It also discusses some of the practical aspects of this type of multivariate optimization.
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EU clearing timeline - a real threat to banks?
Banks warn a lack of revenue will force them out of the clearing business in Europe, if clients are not mandated to start using the service before the proposed 2016 deadline (www.risk.net/2357591). How many would actually shut up shop?
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