Journals

• Original research

Electricity price forecasting with a new feature selection algorithm

Research Papers

• 24 Dec 2008

• Original research

Compound scenarios: an efficient framework for integrated market–credit risk

• 23 Dec 2008

• Original research

Hedging portfolios of financial guarantees

• 23 Dec 2008

• Original research

Estimation and decomposition of downside risk for portfolios with non-normal returns

• 23 Dec 2008

• Original research

The long-term risk caused by the stock market bubble

• 23 Dec 2008

• Original research

BSLP: Markovian bivariate spread-loss model for portfolio credit derivatives

• 23 Dec 2008

• Original research

Fourier space time-stepping for option pricing with Lévy models

• 23 Dec 2008

• Original research

Gaussian and Poisson approximation: applications to CDOs tranche pricing

• 23 Dec 2008

• Original research

PDE methods for maximum drawdown

• 23 Dec 2008

• Original research

The relationship between default and economic cycle across countries for retail portfolios

• 10 Nov 2008

• Original research

Forecasting industry sector default rates through dynamic factor models

• 10 Nov 2008

• Original research

The accuracy of credit scoring receiver operating characteristic in the presence of macroeconomic shocks

• 10 Nov 2008

• Original research

Recalibrating credit risk models – a theoretical perspective with practical implications

• 10 Nov 2008

• Original research

A semiparametric factor model for electricity forward curve dynamics

Research Papers

• 01 Oct 2008

• Original research

Crude oil volatility shocks and stock market returns

Research Papers

• 01 Oct 2008

• Original research

Price dynamics of natural gas components: empirical evidence

Research Papers

• 01 Oct 2008

• Original research

The comovements along the forward curve of natural gas futures: a structural view

Research Papers

• 01 Oct 2008

• Original research

Break on through to the single side

• 30 Sep 2008

• Original research

Valuing LCDS cancelability

• 30 Sep 2008

• Original research

Maturity adjustments under asymptotic single risk factor models: a comparative analysis

• 30 Sep 2008

• Original research

Development and validation of credit scoring models

• 30 Sep 2008

• Original research

A swaption volatility model using Markov regime switching

• 29 Sep 2008

• Original research

Multi-asset option pricing using a parallel Fourier-based technique

• 29 Sep 2008

• Original research

Representing the CGMY and Meixner Lévy processes as time changed Brownian motions

• 29 Sep 2008