Technical paper
Robust optimization of currency portfolios
Research Papers
Spread options, Farkas's lemma and linear programming
Spread options, Farkas's lemma and linear programming
Bayesian lessons for payout structuring
Bayesian lessons for payout structuring
A new breed of copulas for risk and portfolio management
A new breed of copulas for risk and portfolio management
Cutting edge introduction
A popular copula
Cutting edge: solutions for three-asset spread options
A Kirk’s and a Bachelier’s formula for three-asset spread options
Marking systemic portfolio risk with the Merton model
Marking systemic portfolio risk with the Merton model
Perverse capital
Perverse capital
Cutting edge – multi-scale volatility in commodity markets
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…
Spread options, Farkas's lemma and linear programming
Spread options, Farkas's lemma and linear programming
Counterparty risk capital and CVA
Counterparty risk capital and CVA
Weather risk: gauging the exposure
There is now an array of instruments available to hedge weather exposure, but evaluating that exposure is far harder than quantifying standard exposures such as commodity price risk. Garth Renne and Shaun Hatch discuss approaches to analysing wind and…
Cutting edge: Pricing carbon-linked bonds
Within the framework of Phase II of the EU ETS, which has consecutive compliance periods that allow banking and borrowing, Daniel Bloch expresses the dynamics of Certified Emission Reductions as a function of European Union Allowances, and computes the…
From spot volatilities to implied volatilities
From spot volatilities to implied volatilities
Edhec research reveals negative correlation between private equity deal performance and duration
Determinants of private equity returns
Cutting edge introduction
Be discrete
Random grids
Random grids
Repricing the cross smile: an analytic joint density
Repricing the cross smile: an analytic joint density