Technical paper
Parameter estimation with k-means clustering
Ever since the pioneering work of Cox, Ross & Rubinstein (1979), tree models have been popular as an asset pricing method. However, statistical estimation of the parameters of tree models has been less studied. In this article, Kiseop Lee and Mingxin Xu…
Mortality fluctuations modelling with a shared frailty approach
Technical papers
Un modello di Vasicek multistato con correlazione tra tassi di default e perdita
Approfondimenti - Rischio di credito
Estimating credit contagion in a standard-factor model
Cutting Edge - Credit Portfolio Risk
Smile dynamics III
In two articles published in 2004 and 2005 in Risk, Lorenzo Bergomi assessed the structural limitations of existing models for equity derivatives and introduced a new model based on the direct modelling of the joint dynamics of the spot and the implied…
Fully flexible views: theory and practice
Attilio Meucci proposes a unified methodology to input non-linear views from any number of users in fully general non-normal markets and perform, among others, stress testing, scenario analysis and ranking allocation. He walks the reader through the…
Crude oil volatility shocks and stock market returns
Research Papers
Price dynamics of natural gas components: empirical evidence
Research Papers
