Technical paper

• Risk management

Leadership and high-reliability organizations: why banks fail

• 13 Jan 2012

• Risk management

Power spot price models with negative prices

• 12 Jan 2012

• Original research

Risk-adequate pricing of retail power contracts

• 12 Jan 2012

• Original research

Gas storage valuation using a multifactor price process

• 12 Jan 2012

• Original research

On the optimal exercise of swing options in electricity markets

• 12 Jan 2012

• Credit risk

Market pricing of credit-linked notes: The case of retail structured products in Germany

• 12 Jan 2012

• Credit risk

Generalized beta regression models for random loss-given-default

• 12 Jan 2012

• Original research

Credit default model for a dynamically changing economy

• 12 Jan 2012

• Original research

Approximating independent loss distributions with an adjusted binomial distribution

• 12 Jan 2012

• Original research

Modelling sector correlations with CreditRisk+: The common background vector model

• 12 Jan 2012

• Original research

Pricing barrier and average options in a stochastic volatility environment.

• 11 Jan 2012

• Original research

Pricing convertible bonds with call protection

• 11 Jan 2012

• Original research

Minimal partial proxy simulation schemes for generic and robust Monte Carlo Greeks.

• 11 Jan 2012

• Original research

A simple discretization scheme for nonnegative diffusion processes with applications to option pricing.

• 11 Jan 2012

• Market risk

Cutting Edge introduction: requiem for a probabilist

Requiem for a probabilist

• 10 Jan 2012

• Risk management

A historical-parametric hybrid VAR

A historical-parametric hybrid VAR

• 10 Jan 2012

• Markets

Perturbed Gaussian copula: introducing the skew effect in co-dependence

Perturbed Gaussian copula: introducing the skew effect in co-dependence

• 06 Jan 2012

• Markets

Being particular about calibration

Following previous work on the calibration of multi-factor local stochastic volatility models to market smiles, Julien Guyon and Pierre Henry-Labordère show how to calibrate exactly any such model. Their approach, based on McKean’s particle method,…

• 06 Jan 2012

• Structured products

Perspectives on systemic risk

• 24 Dec 2011

• Structured products

On a multi-timescale statistical feedback model for volatility fluctuations

• 24 Dec 2011

• Structured products

Constructing the best trading strategy: a new general framework

• 24 Dec 2011

• Structured products

Option strategies based on semiparametric implied volatility surface prediction

• 24 Dec 2011

• Credit risk

Cutting Edge introduction: clarity needed on credit adjustments

Credit and credibility

• 08 Dec 2011

• Credit risk

Cutting Edge: the year of CVA

The year of CVA

• 08 Dec 2011