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Technical paper

Cutting edges using domain integration

Zhengyun Hu, Jeroen Kerkhof, Paul McCloud and Jorg Wackertapp present the semi-analytic lattice integrator tree, a domain integrator method for pricing derivatives. This method can eliminate almost all numerical noises in derivatives pricing, and…

Optimising omega

Optimising a portfolio's omega generally requires non-linear optimisation methods. Helmut Mausser, David Saunders and Luis Seco show that, under suitable conditions, a simple change of variables transforms the problem into a linear program that is much…

Using options theory for commodity spreads

Market risk for a real option asset can be effectively managed using a spread option model. Raymond Cheng and Walt Tyrrell demonstrate the enhanced risk-adjusted performance of optional refinery capacity with a historical back test

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