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Modelling

Pure jump models for energy prices

Cutting Edge: Pure jump models for energy prices

Université de Lausanne’s Roberto Marfè investigates pure jump processes as modelling blocks for the distributions of energy returns under the pricing measure. An easy-to-implement option-implied approach is outlined, which circumvents most of the…

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Setting risk appetite: know what you want

OpRisk examines the practical application of the concepts of risk appetite, the risk ceiling and the risk profile, taking a broad look at who should decide risk appetite, how it should be articulated, in what context (and to what extent) and what the…

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Dubai: The legal issues highlighted by the crisis

Dubai World’s emergency debt restructure last year and the continuing debate over the integrity of sukuk products have rocked investor confidence in the Dubai International Financial Centre. Tricky structural work is needed to strengthen its legal…

Model students

Mauro Cesa, Energy Risk's technical editor, talks to quants about how quantitative analysis for energy markets has developed and what they see as the most influential technical publications of the past 15 years

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Macrofinancial risk

A valuable synthesis of financial theory and macroeconomics appears to be emerging. This could enrich both areas, says David Rowe

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