Risk magazine/Technical paper
Modelling credit migration
Masterclass – with JP Morgan
Haircuts for hedge funds
Collateral
Pricing liquidity into derivatives
Volatility
The price of credit
Masterclass – with JP Morgan
Value under liquidation
Liquidity
Jumping smiles
Options
Maturity mismatch
Credit risk
On the edge of completeness
Credit derivatives
In praise of bar data
Forex markets
Uncertain volatility
Market risk
Optional events and jumps
Masterclass – with JP Morgan
Swaptions with a smile
Masterclass – with JP Morgan
The tree of knowledge
Options
Generalising with HJM
Credit risk
Wrong-way exposure
Masterclass – with JP Morgan
Integrating correlations
Credit risk
Rates of skew
Interest rate models
Applying HJM to credit risk
Credit risk
If the skew fits
Volatility
Regimes of volatility
Options markets
The maturity offset problem
Regulation
Pricing with a smile
Bruno Dupire shows how the Black-Scholes model can be extended tomake it compatible with observed market volatility smiles, allowingconsistent pricing and hedging of exotic options