Original research

• Original research

Toward a clear understanding of the systemic risks of large institutions

• 19 Jun 2009

• Original research

Underwriting versus economy: a new approach to decomposing mortgage losses

• 19 Jun 2009

• Original research

Tail-risk management: an investor's perspective

• 19 Jun 2009

• Original research

Dynamic mean-variance portfolio analysis under model risk

• 16 Jun 2009

• Original research

A multilevel approach to control variates

• 16 Jun 2009

• Original research

American options in Lévy models with stochastic interest rates

• 16 Jun 2009

• Original research

Life-cycle asset allocation and consumption using stochastic linear programming

• 16 Jun 2009

• Original research

Market power in the German wholesale electricity market

Research Papers

• 15 Jun 2009

• Original research

Development of open source software for power market research: the AMES test bed

Research Papers

• 15 Jun 2009

• Original research

Impacts of regulatory announcements on CO 2 prices

Research Papers

• 15 Jun 2009

• Original research

Pricing of hourly exercisable electricity swing options using different price processes

Research Papers

• 15 Jun 2009

• Original research

Estimating the lognormal-gamma model of operational risk using the Markov chain Monte Carlo method

• 31 Mar 2009

• Original research

Supply portfolio risk

• 31 Mar 2009

• Original research

Fat tails, expected shortfall and the Monte Carlo method: a note

• 31 Mar 2009

• Original research

Modeling operational risk in financial institutions using hybrid dynamic Bayesian networks

• 31 Mar 2009

• Original research

Min-Max robust and CVaR robust mean-variance portfolios

• 27 Mar 2009

• Original research

Joint and conditional transformed t mixture models with applications to financial and economic data

• 27 Mar 2009

• Original research

The bond-stock yield differential as a risk indicator in financial markets

• 27 Mar 2009

• Original research

Risk premium and non-smooth utility

• 27 Mar 2009

• Original research

Modeling multi-period corporate default probability when hazard ratios decay

• 25 Mar 2009