Technical paper
The valuation of power futures based on optimal dispatch
Reseach Papers
Pricing electricity derivatives on an hourly basis
Reseach Papers
Valuation of commodity-based swing options
Reseach Papers
Validating interest rate models under Solvency II
With Solvency II fast approaching, obtaining approval for your internal model is increasingly important. A key part of this process will be to demonstrate the ability of the model’s scenario generation to describe the evolution of interest rates…
Factors on demand
Linear factor models are commonly used by portfolio managers to capture sources of risk, traditionally split between systematic and idiosyncratic types. By using the conditional link between flexible bottom-up estimation, and top-down attribution, factor…
Two curves, one price
Interest Rate Derivatives
Optimal hedge fund allocation present challenges for hedge funds and FoHF managers
Optimising allocation
CVA and the equivalent bond
CVA and the equivalent bond
Reviewing the use of alternative asset class ETFs
Investors have extended the use of exchange traded funds (ETFs) to alternative investments. Commodities, infrastructure and real estate are popular but hedge funds less so.
Two curves, one price
The financial crisis has multiplied the yield curves used to price plain vanilla interest rate derivatives, making classic single-curve no-arbitrage relations and pricing formulas no longer valid. Marco Bianchetti shows that no-arbitrage can be recovered…
Smooth calibration of Markov functional models for pricing exotic interest rate derivatives
The Libor market model is widely used but often criticised for its slowness. Nick Denson and Mark Joshi develop an accurate and stable calibration procedure that allows for the effective use of a control variate
Translating overnight and intraday returns to improve daily volatility forecast accuracy
Lost in translation: Accuracy versus profitability of intraday, overnight and volume information for volatility-based trading
Calculation of aggregate loss distributions
Research Papers