Technical paper

• Original research

Stochastic volatility and transaction time: an activity-based volatility estimator

• 01 Sep 1999

• Original research

Measuring risk-adjusted performance

• 01 Sep 1999

• Original research

Central bank vulnerability and the credibility of its commitments: a value-at-risk approach

• 01 Sep 1999

• Infrastructure

Swaptions with a smile

Masterclass – with JP Morgan

• 01 Aug 1999

• Infrastructure

The tree of knowledge

Options

• 01 Aug 1999

• Infrastructure

Generalising with HJM

Credit risk

• 01 Aug 1999

• Infrastructure

Wrong-way exposure

Masterclass – with JP Morgan

• 01 Jul 1999

• Infrastructure

Integrating correlations

Credit risk

• 01 Jul 1999

• Infrastructure

Rates of skew

Interest rate models

• 01 Jul 1999

• Original research

Predicting financial crashes using discrete scale invariance

• 01 Jul 1999

• Original research

Identification of investor's risk aversion in portfolio optimization

• 01 Jul 1999

• Original research

Fast computation of efficient portfolios

• 01 Jul 1999

• Original research

Market risk computation for nonlinear portfolios

• 01 Jul 1999

• Infrastructure

Applying HJM to credit risk

Credit risk

• 01 May 1999

• Infrastructure

If the skew fits

Volatility

• 01 Apr 1999

• Infrastructure

Regimes of volatility

Options markets

• 01 Apr 1999

• Infrastructure

The maturity offset problem

Regulation

• 01 Apr 1999

• Original research

Interest rate model risk: an overview

• 01 Apr 1999

• Original research

First Derivatives National Bank: a case problem in the management of interest rate risk

• 01 Apr 1999

• Original research

Derivatives and risk: the case of thrifts

• 01 Apr 1999

• Original research

Measuring risk with the Bodie put when stocks exhibit mean reversion

• 01 Apr 1999

• Original research

Using value-at-risk to control risk taking: how wrong can you be?

• 01 Jan 1999

• Original research

Value-at-risk using the factor-ARCH model

• 01 Jan 1999

• Original research

Regulatory evaluation of value-at-risk models

• 01 Jan 1999