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Technical paper/Derivatives

Markets

Spread options, Farkas's lemma and linear programming

Spread options, Farkas's lemma and linear programming

26 Jul 2011

Credit risk

Counterparty risk capital and CVA

Counterparty risk capital and CVA

25 Jul 2011

Markets

Random grids

Random grids

23 Jun 2011

Markets

Repricing the cross smile: an analytic joint density

Repricing the cross smile: an analytic joint density

22 Jun 2011

Risk management

Marking systemic portfolio risk with the Merton model

Marking systemic portfolio risk with the Merton model

21 Jun 2011

Markets

From spot volatilities to implied volatilities

From spot volatilities to implied volatilities

24 May 2011

Credit markets

Capturing credit correlation between counterparty and underlying

Capturing credit correlation between counterparty and underlying

24 Mar 2011

Inflation markets

Reducing approximation errors in LPI swaps

Reducing approximation errors in LPI swaps

24 Mar 2011

Energy Risk - Cutting edge technical

Energy

Cutting edge technical: Carbon derivatives pricing

Carbon derivatives pricing: an arbitrageable market

01 Mar 2011

Markets

Funding beyond discounting: collateral agreements and derivatives pricing

16 Mar 2010

Insurance

Pricing and hedging of variable annuities

Technical papers

01 Feb 2009

Original research

Instantaneous caps and floors on the short-rate

04 Mar 2008

Original research

Bits, bets, and making book on an index

01 Jan 2001

Original research

First Derivatives National Bank: a case problem in the management of interest rate risk

01 Apr 1999

Original research

Derivatives and risk: the case of thrifts

01 Apr 1999

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