Technical paper

• Original research

A new algorithm for constructing implied binomial trees: does the implied model fit any volatility smile?

• 01 Jan 2001

• Original research

How to solve multiasset Black-Scholes with time-dependent volatility and correlation

• 01 Jan 2001

• Original research

Time transformations, intraday data, and volatility models

• 01 Jan 2001

• Original research

A closed-form solution for perpetual American floating strike lookback options

• 01 Jan 2001

• Infrastructure

Price and probability

Credit derivatives

• 01 Jan 2001

• Infrastructure

A fair value for the skew

Implied volatility

• 01 Jan 2001

• Infrastructure

Forward thinking

Forward simulation

• 01 Dec 2000

• Infrastructure

The taming of the skew

Implied volatility

• 01 Nov 2000

• Infrastructure

Depressing recoveries

Credit risk

• 01 Nov 2000

• Infrastructure

Take the long and short route

Investment management

• 01 Nov 2000

• Infrastructure

Margining the spread

Liquidity risk

• 01 Oct 2000

• Infrastructure

Breaking the silence

Liquidity risk

• 01 Oct 2000

• Original research

Comparison of cashflow maps for value-at-risk

• 01 Oct 2000

• Original research

Arbitrage, martingales, and private monetary value

• 01 Oct 2000

• Original research

Risk management and reporting risk in the UK

• 01 Oct 2000

• Original research

A dynamic asset allocation model with downside risk control

• 01 Oct 2000

• Original research

Evaluation of credit risk of a portfolio with stochastic interest rate and default processes

• 01 Oct 2000

• Original research

Computation of value-at-risk for nonlinear portfolios

• 01 Oct 2000

• Infrastructure

Getting the pricing right

Credit risk

• 01 Sep 2000

• Infrastructure

Static barriers

Exotic options

• 01 Sep 2000

• Infrastructure

Getting the pricing right

Credit risk

• 01 Sep 2000

• Infrastructure

A mixed-up smile

Implied volatility

• 01 Sep 2000

• Original research

A mathematical programming with equilibrium constraints approach to the implied volatility surface of American options

• 01 Sep 2000

• Original research

Valuing moving barrier options

• 01 Sep 2000