Original research
Market pricing of credit linked notes: the influence of the financial crisis
This paper analyzes whether the financial crisis of 2007–9 had an effect on the mispricing of CLNs.
Contingent credit default swaps: accurate and approximate pricing
This paper analyzes the pricing of contingent credit default swaps.
A credit portfolio framework under dependent risk parameters: probability of default, loss given default and exposure at default
This paper introduces a credit portfolio framework that allows for dependencies between default probabilities, secured and unsecured recovery rates and exposures at default (EADs).
An application of sensitivity analysis to hedge funds
This paper investigates a sample of 142 live hedge funds via a DEA sensitivity analysis using a super-efficiency model.
Central counterparties need thicker skins
The paper makes an important contribution to this ongoing dialogue by proposing a set of principles and an analytical framework for calibrating skin-in-the-game contributions.
Wiener chaos expansion and numerical solutions of the Heath–Jarrow–Morton interest rate model
The authors propose an efficient, novel numerical scheme for solving the stochastic Heath–Jarrow–Morton interest rate model.
Pricing crude oil options using Lévy processes
This paper employs the fractional fast Fourier transform to calibrate parameters in an optimization setup.
Ex post payoffs of a tolling agreement for natural gas-fired generation in Texas
This paper explores the problem of insufficient investment incentives for natural gas-fired generation in the ERCOT.
A method of forecasting wholesale electricity market prices
This paper employs the least-action principle to model the complex relationship between expected load and expected price in electricity spot markets.
A dynamic conditional correlation between commodities and the Islamic stock market
This paper focusses on the dynamics of the correlations between commodities and Islamic indexes.
Optimal trading trajectories for algorithmic trading
This paper derives explicit formulas for the optimal implementation shortfall trading curve with linear and nonlinear market impact.
Banks’ expected equity-to-asset ratio bounds under foreign exchange risk
This paper develops optimal bounds of the expectation equity-to-asset ratio.
Accelerated trinomial trees applied to American basket options and American options under the Bates model
This paper introduces accelerated trinomial trees, a novel efficient lattice method for the numerical pricing of derivative securities.
Stock selection with principal component analysis
The authors of this paper propose a stock selection method based on a variable selection method used with PCA in multivariate statistics.
A new improvement scheme for approximation methods of probability density functions
This paper develops a new scheme for improving an approximation method of a probability density function.
Do quantitative country selection strategies really work?
This paper compares sixteen distinct country-selection strategies within a sample of seventy-eight countries between 1999-2015.
Stratified approximations for the pricing of options on average
The authors propose stratified approximations of option prices using the gamma and lognormal distributions, with an application to bond pricing in the Dothan model.
Efficient solution of backward jump-diffusion partial integro-differential equations with splitting and matrix exponentials
A unified approach for solving jump-diffusion partial integro differential equations is proposed.
The application of Hermite polynomials to risk allocation
This paper investigates a practical and fast analytic framework for portfolio modeling and tail risk allocation using Hermite polynomials.
On optimal smoothing of density estimators obtained from orthogonal polynomial expansion methods
This paper discusses the application of orthogonal polynomials to the estimation of probability density functions.
Basel II versus III: a comparative assessment of minimum capital requirements for internal model approaches
This paper provides a comparative assessment of the minimum capital requirement (MCR) in three prominent versions of the Basel regulatory framework.
B-spline techniques for volatility modeling
In this paper the use of B-splines is advocated for volatility modeling within the calibration of stochastic local volatility (SLV) models and for the parameterization of an arbitrage-free implied volatility surface calibrated to sparse option data.
Model uncertainty in risk capital measurement
The authors of this paper propose to quantify the effectiveness of a capital estimation procedure via the notions of residual estimation risk and estimated capital risk.
The efficient application of automatic differentiation for computing gradients in financial applications
Automatic differentiation is the theme of this paper. The authors show that many functions in calibration and inverse problems, exhibit a natural substitution structure. A significant speedup is achieved compared with common reverse-mode AD.