Technical paper/Technology
Trading strategies via book imbalance
Predicting equity and futures tick by tick price movements
Improving annuity pricing with address data
Technical papers
Inflation ist normal
Der Neueste Stand - Inflationsderivate
Valuation and risk analysis for Dutch pension schemes
Technical papers
Das Kontrahentenrisiko und CCDSs unter Korrelation
Der Neueste Stand - Hybrid-Risiko
Copule archimediane implicite nei dati di mercato
Approfondimenti. Derivati creditizi
Contributi al rischio di fattori generici definiti dall'utente
Approfondimenti - Gestione degli investimenti
Calibrazione di tranche CDO con il modello dinamico GPL
Approfondimenti - Derivati di credito
Modelling South African swap spreads
Sponsored Statement
Kalibrierung - Markov-Projektion zur Kalibrierung der Volatilität
Der Neueste Stand
Expected shortfall - una coda in due parti
APPROFONDIMENTI. RISCHIO DEL PORTAFOGLIO CREDITI
Sorridere alle convessità
Approfondimenti. Volatilità implicita
Iterating cancellable snowballs and related exotics
Cutting edge: Exotic options
Strategie di trading sulla pendenza
DERIVATI CREDITIZI
Counterparty risk - Wrong-way risk modelling
Cutting edge
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
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…