Risk magazine - Volume15/No4
Articles in this issue
Presenting the Risk Awards 2002
Risk Awards 2002
Options on fixed exchange rates and the Argentine peso devaluation
Sponsor`s statement
Every currency counts
Overlay management
Exotic FX pulse set to race
The forex business
Can we say goodbye to currency crises?
Currency divergency
Electronic platforms short circuit
E-trading
Against the currency grain
Mexican peso modelling
Towards the mainstream
Emerging forex modelling
Floating towards disaster
Argentine peso risk
Exotic spectra
Eigenfunction expansions can also be applied to finance. The method is particularly suited to barrier and Asian options, with convergence properties that compare favourably with Monte Carlo.
Mean-reverting smiles
Commodity markets such as crude oil exhibit mean reversion as well as option smiles. The authors construct a model suitable for pricing exotic options in these markets
Honour your contribution
What is the best method for determining the risk contribution of a component in a portfolio? An exploration of the pros and cons of three important methods, showing that none dominates the others.
