Technical paper

• Infrastructure

Modelling default correlation

Credit risk

• 01 Apr 2001

• Infrastructure

The relativity of volatility

Stress testing

• 01 Apr 2001

• Original research

A new approach to component VaR

• 01 Apr 2001

• Original research

An empirical comparison of methods for incorporating fat tails into value-at-risk models

• 01 Apr 2001

• Original research

An empirical investigation into credit spread indices

• 01 Apr 2001

• Original research

Closed-form solutions for option pricing in the presence of volatility smiles: a density-function approach

• 01 Apr 2001

• Original research

Evaluating covariance matrix forecasts in a value-at-risk framework

• 01 Apr 2001

• Original research

Various types of double-barrier options

• 01 Apr 2001

• Original research

A remark on the pricing of discrete lookback options

• 01 Apr 2001

• Original research

Pricing American options: a comparison of Monte Carlo simulation approaches

• 01 Apr 2001

• Original research

Control of credit risk collateralization using quasi-variational inequalities

• 01 Apr 2001

• Original research

Simple, fast and flexible pricing of Asian options

• 01 Apr 2001

• Infrastructure

Forward CMS rate adjustment

Constant maturity products

• 01 Mar 2001

• Infrastructure

Hedge your Monte Carlo

Option pricing

• 01 Mar 2001

• Infrastructure

Jumping in line

Emmanuel Acar and Bapi Maitra

• 01 Feb 2001

• Original research

Improving grid-based methods for estimating value-at-risk of fixed-income portfolios

• 01 Jan 2001

• Original research

Bits, bets, and making book on an index

• 01 Jan 2001

• Original research

Optimal execution of portfolio transactions

• 01 Jan 2001

• Original research

Vega risk and the smile

• 01 Jan 2001

• Original research

Deriving derivatives of derivative securities

• 01 Jan 2001

• Original research

A new algorithm for constructing implied binomial trees: does the implied model fit any volatility smile?

• 01 Jan 2001

• Original research

How to solve multiasset Black-Scholes with time-dependent volatility and correlation

• 01 Jan 2001

• Original research

Time transformations, intraday data, and volatility models

• 01 Jan 2001

• Original research

A closed-form solution for perpetual American floating strike lookback options

• 01 Jan 2001