Cutting Edge

• Infrastructure

HJM with multiples

Term structure of credit

• 01 Apr 2000

• Infrastructure

Great realisations

Volatility estimation

• 01 Mar 2000

• Infrastructure

Calibrating random volatility

Stochastic volatility

• 01 Feb 2000

• Infrastructure

Tailor-made for tails

Hedging strategies

• 01 Feb 2000

• Infrastructure

Volatility swaps made simple

Volatility

• 01 Jan 2000

• Infrastructure

Calculating with counterparties

Masterclass – with JP Morgan

• 01 Jan 2000

• Infrastructure

Bachelier’s ‘Theory of speculation’

100 years of risk management

• 01 Jan 2000

• Infrastructure

Modelling credit migration

Masterclass – with JP Morgan

• 01 Jan 2000

• Infrastructure

Haircuts for hedge funds

Collateral

• 01 Jan 2000

• Infrastructure

Pricing liquidity into derivatives

Volatility

• 01 Dec 1999

• Infrastructure

The price of credit

Masterclass – with JP Morgan

• 01 Dec 1999

• Infrastructure

Value under liquidation

Liquidity

• 01 Dec 1999

• Infrastructure

Jumping smiles

Options

• 01 Nov 1999

• Infrastructure

Maturity mismatch

Credit risk

• 01 Nov 1999

• Infrastructure

On the edge of completeness

Credit derivatives

• 01 Oct 1999

• Infrastructure

Market risk of variance swaps

Swaps

• 01 Oct 1999

• Infrastructure

In praise of bar data

Forex markets

• 02 Sep 1999

• Infrastructure

Uncertain volatility

Market risk

• 01 Sep 1999

• Infrastructure

Optional events and jumps

Masterclass – with JP Morgan

• 01 Sep 1999

• Infrastructure

Swaptions with a smile

Masterclass – with JP Morgan

• 01 Aug 1999

• Infrastructure

The tree of knowledge

Options

• 01 Aug 1999

• Infrastructure

Generalising with HJM

Credit risk

• 01 Aug 1999

• Infrastructure

Wrong-way exposure

Masterclass – with JP Morgan

• 01 Jul 1999

• Infrastructure

Integrating correlations

Credit risk

• 01 Jul 1999