Technical paper
Pricing crude oil options using Lévy processes
This paper employs the fractional fast Fourier transform to calibrate parameters in an optimization setup.
Ex post payoffs of a tolling agreement for natural gas-fired generation in Texas
This paper explores the problem of insufficient investment incentives for natural gas-fired generation in the ERCOT.
A method of forecasting wholesale electricity market prices
This paper employs the least-action principle to model the complex relationship between expected load and expected price in electricity spot markets.
A dynamic conditional correlation between commodities and the Islamic stock market
This paper focusses on the dynamics of the correlations between commodities and Islamic indexes.
Central counterparties in crisis: International Commodities Clearing House, New Zealand Futures and Options Exchange and the Stephen Francis Affair
This paper highlights the vulnerability of CCPs to large concentrated positions that may be difficult or impossible to close out.
Optimal trading trajectories for algorithmic trading
This paper derives explicit formulas for the optimal implementation shortfall trading curve with linear and nonlinear market impact.
Banks’ expected equity-to-asset ratio bounds under foreign exchange risk
This paper develops optimal bounds of the expectation equity-to-asset ratio.
Accelerated trinomial trees applied to American basket options and American options under the Bates model
This paper introduces accelerated trinomial trees, a novel efficient lattice method for the numerical pricing of derivative securities.
Accounting for KVA under IFRS 13
An accounting treatment for the economic effect of KVA in accordance with IFRS13
From FVA to KVA: including cost of capital in derivatives pricing
Youssef Elouerkhaoui presents a general derivatives pricing framework including cost of capital
Stock selection with principal component analysis
The authors of this paper propose a stock selection method based on a variable selection method used with PCA in multivariate statistics.
A new improvement scheme for approximation methods of probability density functions
This paper develops a new scheme for improving an approximation method of a probability density function.
Johnson-Omega performance measure
Alexander Passow presents a portfolio performance measure that combines the omega measure with Johnson distributions
Do quantitative country selection strategies really work?
This paper compares sixteen distinct country-selection strategies within a sample of seventy-eight countries between 1999-2015.
Stratified approximations for the pricing of options on average
The authors propose stratified approximations of option prices using the gamma and lognormal distributions, with an application to bond pricing in the Dothan model.
The funding invariance principle
Youssef Elouerkhaoui shows how the choice of discounting rate is irrelevant for pricing
Risk management for return enhancement
Lundin and Satchell present a non-linear asymmetric dependence method between two assets
Non-parametric local volatility formula for interest rate swaptions
Gatarek, Jabłecki and Qu introduce a Dupire-like formula for swaptions
Efficient solution of backward jump-diffusion partial integro-differential equations with splitting and matrix exponentials
A unified approach for solving jump-diffusion partial integro differential equations is proposed.
The application of Hermite polynomials to risk allocation
This paper investigates a practical and fast analytic framework for portfolio modeling and tail risk allocation using Hermite polynomials.
On optimal smoothing of density estimators obtained from orthogonal polynomial expansion methods
This paper discusses the application of orthogonal polynomials to the estimation of probability density functions.
Testing interest rate models for Solvency II applications
Alexey Botvinnik and Vladimir Ostrovski propose a validation method for interest rate models
Basel II versus III: a comparative assessment of minimum capital requirements for internal model approaches
This paper provides a comparative assessment of the minimum capital requirement (MCR) in three prominent versions of the Basel regulatory framework.