Technical paper

• Infrastructure

Core satellite investing: harmony through separation

Asset allocation

• 01 Sep 2001

• Infrastructure

Firm-wide risk management for funds

Firm-wide risk

• 01 Sep 2001

• Infrastructure

The destructive power of ‘best practice’

Capital management

• 01 Sep 2001

• Infrastructure

Image options and the road to barriers

Barrier options

• 01 Sep 2001

• Original research

Coherent allocation of risk capital

• 01 Sep 2001

• Original research

Forecasting portfolio risk in normal and stressed markets

• 01 Sep 2001

• Original research

Dynamic hedging with a deterministic local volatility function model

• 01 Sep 2001

• Original research

Valuing American options in the presence of user-defined smiles and time-dependent volatility: scenario analysis, model stress and lower-bound pricing applications

• 01 Sep 2001

• Original research

Competitive Monte Carlo methods for the pricing of Asian options

• 01 Sep 2001

• Original research

Pricing of Occupation Time Derivatives: Continuous and Discrete Monitoring

• 01 Sep 2001

• Original research

A finite-difference method for the valuation of variance swaps

• 01 Sep 2001

• Original research

Technical note: Lognormal swap approximation in the Libor market model and its application

• 01 Sep 2001

• Original research

A semi-analytical method for pricing and hedging continuously sampled arithmetic average rate options

• 01 Sep 2001

• Infrastructure

VAR: who contributes and how much?

Portfolio risk management

• 01 Aug 2001

• Credit risk

Probing granularity

The granularity adjustment, which adjusts risk weightings for credit portfolio diversification, is one of Basel II’s key modelling assumptions. Here, Tom Wilde uncovers a weakness in this assumption arising from the differences in the underlying credit…

• 01 Aug 2001

• Original research

A nonexploding bushy tree technique and its application to the multifactor interest rate market model

• 01 Aug 2001

• Original research

Exercise boundaries and efficient approximations to American option prices and hedge parameters

• 01 Aug 2001

• Original research

A new PDE approach for pricing arithmetic average Asian options

• 01 Aug 2001

• Original research

Performance of Dupire's implied diffusion approach under sparse and incomplete data

• 01 Aug 2001

• Infrastructure

Changing history

Equity risk management

• 01 Jul 2001

• Infrastructure

How dependent are defaults?

Credit portfolio management

• 01 Jul 2001

• Infrastructure

Plugging into electricity

Commodities

• 01 Jul 2001

• Original research

Managing the risk of relative price changes by splitting index-linked bonds

• 01 Jul 2001

• Original research

Incorporating severity variations into credit risk

• 01 Jul 2001