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Risk magazine

Local cross-entropy

One way of addressing the inconsistency between exchange-traded options prices and the Black-Scholes model is to attempt to find alternative risk-neutral distributions that are more consistent. However, non-uniqueness means an additional criterion is…

A credit loss control variable

Viktor Tchistiakov, Jeroen de Smet and Peter-Paul Hoogbruin explain and demonstrate how the efficiency of Monte Carlo simulation in valuing a portfolio of credit risky exposures is improved by the use of the Vasicek distribution as a control variable. An…

Record half-year for Eurex

Derivatives exchange Eurex turned over a record 553 million contracts in the first half of this year, up from 524 million contracts, around 5%, for the same period of 2003.

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