Technical paper
Measures of predictive success for rating functions
Research Papers
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