Technical paper

• Infrastructure

Pricing the weather

Weather derivatives

• 01 May 2000

• Infrastructure

Beyond the lognormal

Value-at-risk

• 01 May 2000

• Infrastructure

The pitfalls of VAR estimates

Value-at-risk

• 01 May 2000

• Infrastructure

HJM with multiples

Term structure of credit

• 01 Apr 2000

• Original research

Optimization of conditional value-at-risk

• 01 Apr 2000

• Original research

Fifty years of UK asset price volatility

• 01 Apr 2000

• Original research

Behavior of power prices: implications for the valuation and hedging of financial contracts

• 01 Apr 2000

• Original research

A stress test to incorporate correlation breakdown

• 01 Apr 2000

• Original research

A new integral representation of the early exercise boundary for American put options

• 01 Apr 2000

• Original research

Reconstructing the unknown local volatility function

• 01 Apr 2000

• Original research

On the pricing implications of the joint lognormal assumption for the swaption and cap markets

• 01 Apr 2000

• Original research

Pricing of interest rate contingent claims: implementing a simulation approach

• 01 Apr 2000

• Original research

Double barrier options: valuation by path counting

• 01 Apr 2000

• Original research

Fast and accurate analytical approximation of bond prices when short interest rates are lognormal

• 01 Apr 2000

• Original research

LIBOR market models in practice

• 01 Apr 2000

• Original research

The reduction of forward rate dependent volatility HJM models to Markovian form: pricing European bond options

• 01 Apr 2000

• Original research

A parity result for American options

• 01 Apr 2000

• Original research

An investigation of cheapest-to-deliver on Treasury bond futures contracts

• 01 Apr 2000

• Original research

Finite sample comparison of alternative estimators of Itô diffusion processes: a Monte Carlo study

• 01 Apr 2000

• Original research

The passport option

• 01 Apr 2000

• Infrastructure

Great realisations

Volatility estimation

• 01 Mar 2000

• Infrastructure

Calibrating random volatility

Stochastic volatility

• 01 Feb 2000

• Infrastructure

Tailor-made for tails

Hedging strategies

• 01 Feb 2000

• Original research

Power options: hedging nonlinear risks

• 01 Jan 2000