Asset Management


Portfolio Optimization when assets have the gaussian mixture distribution. View PDF


·         Authors: I. Buckley, G. Comezana, B. Djerroud, L. Seco.   Proceedings of the Mercado de Futuros, Madrid 2002.


Distressed considerations in the construction of hedge fund portfolios. View PDF


·         Canadian Hedge Watch, June 2002.T


The Brennan-Schwartz context for asset allocation.


·         Author: Nigel Hernandez.  Master's thesis. 2000 - Department of Mathematics. University of Toronto.



Credit Derivatives


Review of CDOs Pricing Models.


·         Author: Marcos Escobar and Luis Seco. Working Paper. 2005.


Dependences Structures and the Pricing CDOs..


·         Author: Marcos Escobar and Luis Seco. Working Paper. 2005.


Valuation of Collateralized Fund Obligation.


·         Author: Unai Ansejo, Marcos Escobar and Luis Seco. Working Paper. 2004


Defaultable Forward Contracts.


·         Author: Marcos Escobar and Luis Seco.  Working Paper. 2004.


Pricing nth dimensional Barrier Derivatives.


·         Author: Marcos Escobar and Luis Seco.  Submitted to the Journal of Mathematical Finance. 2004.


Pricing credit derivatives and credit risk.


·         Author: Ed Watson. Master's thesis. 2000 - Department of Mathematics. University of Toronto



Non-Gaussianity


New families of distributions fitting L-moments for modeling financial data. View PDF


·         Authors: S. Carrillo and N. Hernandez, L. Seco.  Submitted to    .2003


A theoretical comparison between moments and L-moments. View PDF


·         Authors: S. Carrillo and N. Hernandez, L. Seco.   Submitted to    .2003.


Stable distribution: A survey on simulation and calibration methodologies. View PDF


·         Authors: P. Olivares, L. Seco. Technical Report , 2003.


Estimating the spectral measure of a multivariate stable distribution via spherical harmonic analysis. View PDF


·         Authors: M. Pivato, L. Seco.  Publication 2003.


Nongaussian Multivariate Simulations in Mark-to-Future calculations. View PDF


·         Authors: O. Criossant, G. Comezana, M. Escobar, P. Fernandez, N. Hernandez, L. Seco.  Proceedings of the Mercado de Futuros, Madrid 2002.


Applications of descriptive measures in Risk Management.


·         Author: Nicolas Hernandez. Ph.D. thesis. 2002 - Department of Mathematics. University of Toronto.


Measures of dependence for multivariate Levy distributions. View PDF


·         Authors: J. Bolland, T. Hurd and M. Pivato, L. Seco. Disordered and Complex Systems, edited by P. Sollich et al. American Institute of Physics. 2001.


Analytical methods for multivariate stable probability distributions.


·         Author: Marcus Pivato. Ph.D. thesis. 2001 - Department of Mathematics. University of Toronto


Non-Gaussian Univariate Distributions.


·         Author: Nicolas Hernandez and Luis Seco. RiskLab - AlgoReserachQuaterly, Jan 2000



Market Risk


Principal component Value-at-Risk (2001) View PDF


·         Authors: R. Brummelhuis, A. Cordoba, M. Quintanilla, L. Seco.   Journal of Mathematical Finance (2001), Vol 12 (1), 23-43.


Principal component Value-at-Risk (2000) View PDF


·         Authors: R. Brummelhuis, A. Cordoba, M. Quintanilla, L. Seco. International Journal of Theoretical and Applied Finance, Vol 3,


number 3 (2000), pp 541-545


Harmonic Analysis in Value at Risk Calculations,


·         Authors: Claudio Albanese and Luis Seco. Publication. 2000


Modelling and Estimation of Financial Time Series. Non-Gaussian ARMA models.


·         Authors: Nicolas Hernandez, Marcos Escobar and Luis Seco. Technical Report, 2000.


Extreme Value Theory techniques for scenario generation.


·         Authors: S. Carillo, M. Escobar, P. Fernández, G. Comezañas, N. Hernández, L. Seco. Technical Report. 2000.


Gaussian Processes for Financial Time Series, a C++ Implementation.  View PDF


·         Authors: Sebastian Ferrando and Massimo Pascazi. RiskLab and Ryerson Polytechnic University. Technical Report, 1999.


Asymptotic Expansion for Value at Risk.


·         Author: Maite Quintanilla.  Master's thesis 1998 .Department of Mathematics. University of Toronto.



Incomplete Markets


Mathematical Problems in the Theory of Incomplete Markets.


·         Author: David Saunders. Ph.D. thesis. 2001 - Department of Mathematics. University of Toronto.


Applications of Optimization to Mathematical Finance.


·         Author: Dave Saunders.  Master's thesis 1998. Department of Mathematics. University of Toronto

RISK LAB