Technical paper
Robust estimation of operational risk
Research Papers
Fast simplified approaches to Asian option pricing
Research Papers
General short-rate analytics
Alexandre Antonov and Michael Spector present an analytical approximation of zero-coupon bonds and swaption prices for general short-rate models. The approximation is based on regular and singular expansions with respect to low volatility and contains a…
Investors tracking maturity-enhanced commodity indexes face liquidity risk
Speculative commodity indexes
Real-time counterparty credit risk management in Monte Carlo
Real-time counterparty credit risk management in Monte Carlo
From spot volatilities to implied volatilities
From spot volatilities to implied volatilities
Cross-sectional variance shown to be good proxy for Idiosyncratic volatility and expected returns
Idiosyncratic volatility and expected returns
