Original research

• Original research

A value-at-risk analysis of credit default swaps

• 17 Jun 2011

• Original research

Transfer risk under Basel Pillar 1

• 16 Jun 2011

• Original research

A brief note on implied historical loss given default

• 16 Jun 2011

• Original research

Benchmarking the incremental risk charge

• 16 Jun 2011

• Original research

Evaluating the performance of Static versus Dynamic models of credit default: evidence from long-term Small Business Administration-guarenteed loans

• 16 Jun 2011

• Original research

Fast simplified approaches to Asian option pricing

Research Papers

• 16 Jun 2011

• Original research

Fast and accurate Greeks for the LIBOR Market Model

• 16 Jun 2011

• Original research

Adaptive and high-order methods for valuing American options

• 16 Jun 2011

• Original research

Efficient Pricing of constant maturity swap spread options in a stochastic volatility LIBOR market model

Research Papers

• 16 Jun 2011

• Original research

Oil demand and energy security in Asian countries

• 15 Jun 2011

• Original research

Parametric approaches to risk management for natural gas prices: an out-of-sample evaluation

• 15 Jun 2011

• Original research

Implied volatility surface reconstruction for energy markets: spot price modeling versus surface parametrization

• 15 Jun 2011

• Original research

The multiple-mean-reversion jump-diffusion model for Nordic electricity spot prices

• 15 Jun 2011

• Original research

Mind the tails! Anticipatory risk management for target-date strategies

• 24 Feb 2011

• Original research

The German model of risk distribution in supplementary occupational pensions

• 24 Feb 2011

• Original research

The price of pension risks

• 24 Feb 2011