Technical paper/Foreign exchange
UBS
Quant Analysis
A model of time-varying volatilities in futures contracts
Despite the utility of forward price models in the risk management framework, models of spot prices are used more prevalently. Ted Kury presents a tractable model with time-varying volatility, that allows for temporal changes
Inflation swaps - Mechanics of inflation swaps
Inflation swaps can reduce the complexity of hedging calculations in liability-driven investment. But is this tool really suitable for corporate pension funds?
The theory of LDI
Liability Driven Investments
Lehman Brothers Holdings
Quant Analysis
Counterparty risk - Wrong-way risk modelling
Cutting edge
A standard practice?
Cutting Edge: Solvency risk
Citigroup Funding
Quant Analysis
Post Office
Quant Analysis
ABN Amro
Quant Analysis
Hedging weather exposure
Volumetric weather risk is usually levered by the commodity price, resulting in cross-commodity exposure known as a quanto. Hedging such exposure with quanto instruments is costly. Victor Dvortsov suggests a simple strategy that allows efficient hedging…
Calibrating inflation
Cutting Edge: Inflation Models
Caja Segovia
Quant Analysis
Aviva
Quant Analysis
West Bromwich
Quant Analysis
Banco Cooperativo Espanol
Quant Analysis
At the flick of a switch
Jesper Andreasen and Martin Dahlgren present a regime-switching model for electricity derivatives that incorporates spiky spot-price dynamics and allows for closed-form pricing of forwards, options and swaptions
Bradford & Bingley
Quant Analysis
BCC Caravaggio
Quant Analysis
BNP Paribas
Quant Analysis
Credit Mutuel
Quant Analysis
Nuclear fusion R&D
In 50 years, nuclear fusion may be a major source of energy, but until then extensive research and development is needed. To justify the current and future R&D expenditure, a cost-benefit analysis designed specially for this sector is required. David…
Kleinwort Benson
Quant Analysis
Sparkasse Hannover
Quant Analysis