Technical paper
Continuing to rebuild
Degrees of influence
Name concentration correction
Name concentration correction
A Libor market model with a stochastic basis
A Libor market model with a stochastic basis
Optimal portfolio selection in the presence of non-normally distributed asset returns
Optimal portfolio selection
Valuation of with-profit insurance policies with interest rate guarantees
Classical with-profit life insurance products are traditionally backed by a buy-and-hold bond investment strategy. Using book-value accounting for such products tends to lead to a design of the guarantee rate based on an average of long-term interest…
Assessment of longevity risk under Solvency II
As the implementation of Solvency II looms, the calibration of the standard formula remains a controversial issue as the industry runs the fifth quantitative impact study. But the current design overshoots the one in 200 year confidence level.
Correlations in asynchronous markets
Correlations in asynchronous markets
Post-shock short-rate pricing
Post-shock short-rate pricing
Option pricing and hedging in the presence of cross-hedge risk
Hedging portfolio risk
Risk appetite of long-term investors shows mixed attitude towards illiquid assets
Choosing the right mix of liquid and illiquid investments
Smiling jumps
Smiling jumps
Two curves, one price
The financial crisis multiplied the yield curves used to price interest rate derivatives, making traditional no arbitrage pricing no longer valid. By taking into account the basis adjustment bootstrapped from market basis swaps and using a foreign…