Technical paper articles on risk management, derivatives and complex finance - Risk.net

This paper deals with volatility estimation in commodity markets. Piotr Grzywacz and Krzysztof Wolyniec note that energy commodities have many time (volatility) scales, which has dramatic implications for mean-reversion and volatility estimation. They…

27 Jul 2011

Markets

Spread options, Farkas's lemma and linear programming

26 Jul 2011

Technical paper

Time dynamic and hierarchical dependence modeling of a supervisory portfolio of banks: a multivariate nonparametric approach

Simulation and estimation of loss given default

Partial differential equation representations of derivatives with bilateral counterparty risk and funding costs

Is credit risk really higher in Islamic banks?

Credit default swap trees

Spread options, Farkas's lemma and linear programming

An empirical comparative analysis of foreign exchange smile calibration procedures

Pricing timer options

Strange facts about the marginal distributions of processes based on the Ornstein-Uhlenbeck process

Robust optimization of currency portfolios

Gasoline price volatility and presidential elections in the United States: a linear model approach

High-frequency oil-foreign-exchange interdependence

Modeling and optimizing risk in the strategic gas-purchase planning problem of local distribution companies

Future spot gas prices in the US and the UK: are movements more influenced by country factors or by global factors?

Spread options, Farkas's lemma and linear programming

Bayesian lessons for payout structuring

A new breed of copulas for risk and portfolio management

Cutting edge introduction

Cutting edge: solutions for three-asset spread options

Regulatory debate continues on merits of short selling in turbulent markets

Marking systemic portfolio risk with the Merton model

Perverse capital

Cutting edge – multi-scale volatility in commodity markets

Spread options, Farkas's lemma and linear programming

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