Technical paper/Risk management/Risk management
Cutting edge: Jamshidian decomposition for pricing European energy commodity swaptions
Cutting edge: Jamshidian decomposition for pricing European energy commodity swaptions
Fat tails via utility-based entropy
Fat tails via utility-based entropy
Cutting Edge introduction: The tipping-point for leverage
Borrowing the stake for a bet is as old as the hills – and so is losing it. But how much debt is too much for a given position? A group of quants believe they know. Laurie Carver introduces this month’s technical articles
Cutting edge 2012: From stochastic volatility to shameful scams
From stochastic volatility to shameful scams
The impossibility of DVA replication
The impossibility of DVA replication
Adjoint Greeks made easy
Adjoint Greeks made easy
The impossibility of DVA replication
The impossibility of DVA replication
Fat tails via utility-based entropy
Fat tails via utility-based entropy
Fat tails via utility-based entropy
Fat tails via utility-based entropy
Cutting Edge introduction: Tales of tails
Tales of tails