In this paper, the authors show how one can use a certain class of models for modeling portfolios such as large corporates, banks and insurance companies.
In this paper, Magnus Wobben, Tilman Huhne, Yuri Ivanov and Sebastian Hanneken examine the impact of market incompleteness on the valuation of gas storage contracts. In contrast to prior research, their proposed valuation framework accounts for the…
The ability to infer daily performance from less frequently observed returns data can help hedge fund investors understand intra-month gains and losses
The impossibility of DVA replication