This paper focusses on the dynamics of the correlations between commodities and Islamic indexes.
Youssef Elouerkhaoui shows how the choice of discounting rate is irrelevant for pricing
Lundin and Satchell present a non-linear asymmetric dependance method among two assets
Gatarek, Jabłecki and Qu introduce a Dupire-like formula for swaptions
This paper explores the problem of insufficient investment incentives for natural gas-fired generation in the ERCOT.
This paper investigates a practical and fast analytic framework for portfolio modeling and tail risk allocation using Hermite polynomials.
This paper discusses the application of orthogonal polynomials to the estimation of probability density functions.
This paper employs the least-action principle to model the complex relationship between expected load and expected price in electricity spot markets.
Alexey Botvinnik and Vladimir Ostrovski propose a validation method for interest rate models
Basel II versus III: a comparative assessment of minimum capital requirements for internal model approaches
This paper provides a comparative assessment of the minimum capital requirement (MCR) in three prominent versions of the Basel regulatory framework.
In this paper the use of B-splines is advocated for volatility modeling within the calibration of stochastic local volatility (SLV) models and for the parameterization of an arbitrage-free implied volatility surface calibrated to sparse option data.
The authors of this paper propose to quantify the effectiveness of a capital estimation procedure via the notions of residual estimation risk and estimated capital risk.
Jack Baczynski, Jonathan da Silva and Rosalino Junior present an index for measuring hedging errors
The efficient application of automatic differentiation for computing gradients in financial applications
Automatic differentiation is the theme of this paper. The authors show that many functions in calibration and inverse problems, exhibit a natural substitution structure. A significant speedup is achieved compared with common reverse-mode AD.
This paper updates the option implied probability of default (iPoD) approach recently suggested in the literature.
Fissler, Ziegel and Gneiting investigate the role of elicitability in backtesting problems and show how comparative backtests can be implemented for expected shortfall
Torresetti and Le Pera explore the relevance of the diversification benefit from a theoretical and practical viewpoint
This paper offers a promising new avenue of investigation into how information on firms’ interconnectivity can improve existing credit models.
This paper investigates European bond markets; looking at credit risk spillover effects between financial institutions and sovereigns in the euro area.
This paper develops methodologies to measure spillover risks in European sovereign bond markets in the period 2004–15.
This Forum contribution shows the reader the lessons that can be learned from one of the few occasions in history when a CCP got into severe difficulty.
The authors investigate interoperability from the perspective of the multilateral netting property of central clearing.