Original research

• Original research

Time regularities in the Russian power market

• 19 Dec 2014

• Original research

The forecasting power of medium-term futures contracts

• 19 Dec 2014

• Original research

Electricity retailers’ behavior in a highly competitive Nordic electricity market

• 19 Dec 2014

• Original research

The German Energiewende: is the manufacturing sector at risk?

• 19 Dec 2014

• Original research

The interrelation of stock markets in China, Taiwan and Hong Kong and their constructional portfolio’s value-at-risk estimate

• 19 Dec 2014

• Original research

Backtesting for counterparty credit risk

• 19 Dec 2014

• Original research

Forecasting value-at-risk for frontier stock market indexes using GARCH-type models and extreme value theory: model validation for dynamic models

• 19 Dec 2014

• Original research

Liquidity effects on value-at-risk limits: construction of a new VaR model

• 19 Dec 2014

• Risk management

Sovereign credit ratings and the new European Union member states

• 19 Dec 2014

• Risk management

A parametric approach to counterparty and credit risk

• 19 Dec 2014

• Original research

The relationship between credit default swap spreads and equity prices

• 31 Oct 2014

• Original research

Choice of rating technology and loan pricing in imperfect credit markets

• 31 Oct 2014

• Original research

Numerical experiments on hedging cliquet options

• 31 Oct 2014

• Original research

Are traders’ rules useful for pricing options? Evidence from intraday data

• 31 Oct 2014

• Risk management

Pricing American-style options by Monte Carlo simulation: alternatives to ordinary least squares

The authors investigate the performance of the ordinary least squares (OLS) regression method in Monte Carlo simulation algorithms for pricing American options.

• 30 Sep 2014

• Risk management

Value function approximation or stopping time approximation: a comparison of two recent numerical methods for American option pricing using simulation and regression

• 30 Sep 2014

• Risk management

Counterparty credit risk pricing and measurement of swaption portfolios

This paper introduces a technique for pricing and risk measurement of portfolios containing swaption contracts in the presence of counterparty credit risk, under general market model and volatility assumptions.

• 30 Sep 2014

• Risk management

Numerical algorithms for research and development stochastic control models

The authors consider the optimal strategy of research and development (R&D) expenditure adopted by a firm that engages in R&D to develop an innovative product to be launched in the market.

• 30 Sep 2014

• Original research

Volatility transmission in energy futures markets

• 30 Sep 2014

• Original research

Modeling natgas intramonth spot (daily or “cash”) price movements

• 30 Sep 2014

• Original research

Optimal timing of wind farm repowering: a two-factor real options analysis

• 30 Sep 2014

• Original research

A structural linkage model for freight rates

• 30 Sep 2014

• Risk management

Faster payments in Denmark

A number of countries are introducing faster settlement of retail payments due to increasing consumer demand.

• 30 Sep 2014

• Risk management

The mutual-information-based variance–covariance approach: an application to operational risk aggregation in Chinese banking

• 30 Sep 2014