Technical paper

• Original research

Power options: hedging nonlinear risks

• 01 Jan 2000

• Original research

Optimal ALM strategies for defined benefit pension plans

• 01 Jan 2000

• Original research

A coherent framework for stress testing

• 01 Jan 2000

• Original research

The most general methodology for creating a valid correlation matrix for risk management and option pricing purposes

• 01 Jan 2000

• Original research

The equity option volatility smile: an implicit finite-difference approach

• 01 Jan 2000

• Original research

Computation of deterministic volatility surfaces

• 01 Jan 2000

• Original research

A non-Gaussian stochastic volatility model

• 01 Jan 2000

• Original research

The Brownian bridge E-M algorithm for covariance estimation with missing data

• 01 Jan 2000

• Original research

Hopscotch methods for two-state financial models

• 01 Jan 2000

• Original research

Robust numerical methods for PDE models of Asian options

• 01 Jan 2000

• Original research

Pricing continuous Asian options: a comparison of Monte Carlo and Laplace transform inversion methods

• 01 Jan 2000

• Original research

Using program synthesis to price derivatives

• 01 Jan 2000

• Original research

A simple approach to the pricing of Bermudan swaptions in the multifactor LIBOR market model

• 01 Jan 2000

• Original research

A canonical optimal stopping problem for American options and its numerical solution

• 01 Jan 2000

• Original research

Accelerating Monte Carlo: quasirandom sequences and variance reduction

• 01 Jan 2000

• Original research

An application of natural resource evaluation using a simulation-dynamic programming approach

• 01 Jan 2000

• Infrastructure

Volatility swaps made simple

Volatility

• 01 Jan 2000

• Infrastructure

Calculating with counterparties

Masterclass – with JP Morgan

• 01 Jan 2000

• Infrastructure

Bachelier’s ‘Theory of speculation’

100 years of risk management

• 01 Jan 2000

• Infrastructure

Modelling credit migration

Masterclass – with JP Morgan

• 01 Jan 2000

• Infrastructure

Haircuts for hedge funds

Collateral

• 01 Jan 2000

• Infrastructure

Pricing liquidity into derivatives

Volatility

• 01 Dec 1999

• Infrastructure

The price of credit

Masterclass – with JP Morgan

• 01 Dec 1999

• Infrastructure

Value under liquidation

Liquidity

• 01 Dec 1999