Technical paper/Modelling
Robust valuation and hedging of tolling agreements and physical assets
Flexible, martingale duality-based method provides reliable valuation
Cutting Edge intro: maths versus machine
Banks can use maths - rather than special chips - to boost computing speed
Adjoint Greeks made easy
Adjoint Greeks made easy
Cutting Edge introduction: Computation, computation, computation
Computation, computation, computation
Applied risk management series: modelling spreads in energy markets
Implications for valuation and risk management of spread options
Cutting Edge introduction: requiem for a probabilist
Requiem for a probabilist
A practical anatomy of IRC modelling
Research Papers
Empirical performance of loss given default prediction models
Research Papers
Risky funding with counterparty and liquidity charges
Risky funding with counterparty and liquidity charges
Variable selection in default risk models
Research Papers
Cutting edge technical: Carbon derivatives pricing
Carbon derivatives pricing: an arbitrageable market
Cutting Edge: Pure jump models for energy prices
Université de Lausanne’s Roberto Marfè investigates pure jump processes as modelling blocks for the distributions of energy returns under the pricing measure. An easy-to-implement option-implied approach is outlined, which circumvents most of the…
Model selection for loss reserves: The Growing Triangle technique
Technical papers