Monte Carlo simulation

• Original research

Modeling value-at-risk for international portfolios in different jump-diffusion processes

• 27 Jun 2013

• Risk management

Pricing high-dimensional Bermudan options using variance-reduced Monte Carlo methods

• 27 Mar 2013

• Technology

What tomorrow's hardware means for today's risk systems

The case for dynamic efficiency

• 25 Feb 2013

• Markets

Rational shapes of local volatility

Rational shapes of local volatility

• 29 Jan 2013

• Energy

Cutting edge: Hedging price and volumetric risks of fixed-price load-serving contracts in natural gas markets

Cutting edge: Hedging price and volumetric risks of fixed-price load-serving contracts in natural gas markets

• 18 Jan 2013

• Credit risk

Credit default swap spreads, fair-value spreads and interest rate dynamics

• 18 Dec 2012

• Credit risk

Calibration of structural and reduced-form recovery models

• 18 Dec 2012

• Original research

Scientific stochastic volatility models for the European energy market: forecasting and extracting conditional volatility

• 18 Dec 2012

• Risk management

Adjoint Greeks made easy

Adjoint Greeks made easy

• 01 Nov 2012

• Original research

Failure of the saddlepoint method in the presence of double defaults

• 27 Sep 2012

• Central banks

Estimating the intraday liquidity risk of financial institutions: a Monte Carlo simulation approach

• 27 Sep 2012

• Structured products

Technology innovation: Numerix

Structured Products Asia Awards 2012

• 13 Sep 2012

• Markets

Adjoint Greeks made easy

Adjoint Greeks made easy

• 03 Sep 2012

• Cutting Edge

Adjusting value-at-risk for market liquidity

Adjusting value-at-risk for market liquidity

• 26 Jul 2012

• Credit risk

Cutting CVA's complexity

Cutting CVA's complexity

• 04 Jul 2012

• Risk systems

Banks look to cut corners on CVA computation

Cutting CVA corners

• 05 Apr 2012

• Risk management

Analytical risk contributions for non-linear portfolios

Analytical risk contributions for non-linear portfolios

• 29 Feb 2012

• Risk management

Analytical risk contributions for non-linear portfolios

Analytical risk contributions for non-linear portfolios

• 29 Feb 2012

• Risk systems

Need for speed: banks explore FPGAs for portfolio modelling

The gate array way

• 06 Feb 2012

• Market risk

Cutting Edge introduction: risky contributions

Risky contributions

• 06 Feb 2012

• Markets

Hybrid correlation matrices

Hybrid correlation matrices

• 25 Jan 2012

• Awards

Quants of the year: Jesper Andreasen and Brian Huge, Danske Bank

Risk awards 2012

• 10 Jan 2012

• Markets

Perturbed Gaussian copula: introducing the skew effect in co-dependence

Perturbed Gaussian copula: introducing the skew effect in co-dependence

• 06 Jan 2012

• Markets

Being particular about calibration

Following previous work on the calibration of multi-factor local stochastic volatility models to market smiles, Julien Guyon and Pierre Henry-Labordère show how to calibrate exactly any such model. Their approach, based on McKean’s particle method,…

• 06 Jan 2012