http://www.math.ryerson.ca/ramlab/reports.html
(Market Risk, Incomplete Markets)
Portfolio Optimization when assets have the gaussian mixture distribution.
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Authors: I. Buckley, G. Comezana,
B. Djerroud, L. Seco.
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Proceedings of the Mercado de Futuros,
Madrid 2002. View PDF
Distressed considerations in the
construction of hedge fund portfolios.
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Canadian Hedge Watch, June 2002. View PDF
The Brennan-Schwartz context for asset
allocation.
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Author: Nigel Hernandez.
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Master's thesis. 2000 - Department of Mathematics.
University of Toronto. View
PDF
Review of CDOs Pricing Models..
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Author: Marcos Escobar and Luis Seco.
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Working Paper. 2005. View pdf.
Dependences Structures and the Pricing CDOs..
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Author: Marcos Escobar and Luis Seco.
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Working Paper. 2005. View
Presentation.
Valuation of Collateralized Fund
Obligation.
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Author: Unai Ansejo, Marcos Escobar and Luis Seco.
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Working Paper. 2004
Defaultable Forward Contracts.
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Author: Marcos Escobar and Luis Seco.
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Working Paper. 2004. View PDF.
Pricing nth dimensional
Barrier Derivatives.
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Author: Marcos Escobar and Luis Seco.
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Submitted to the Journal of Mathematical Finance.
2004. View
PDF
(Abstract)
Pricing credit derivatives and credit risk.
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Author: Ed Watson
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Master's thesis. 2000 - Department of Mathematics.
University of Toronto. View
PDF
New families of
distributions fitting L-moments for modeling financial data.
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Authors: S. Carrillo and N. Hernandez, L. Seco.
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Submitted to .2003. View PDF.
A theoretical
comparison between moments and L-moments.
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Authors: S. Carrillo and N. Hernandez, L. Seco.
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Submitted to .2003. View PDF
Stable distribution: A survey on
simulation and calibration methodologies.
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Authors: P. Olivares, L. Seco.
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Technical Report , 2003. View PDF
Estimating the
spectral measure of a multivariate stable distribution via spherical harmonic
analysis.
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Authors: M. Pivato, L. Seco.
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Publication 2003. View PDF
Nongaussian Multivariate Simulations in
Mark-to-Future calculations.
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Authors: O. Criossant, G. Comezana, M. Escobar, P. Fernandez, N. Hernandez, L. Seco.
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Proceedings of the Mercado de Futuros,
Madrid 2002. View PDF
Applications of
descriptive measures in Risk Management.
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Author: Nicolas Hernandez
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Ph.D. thesis. 2002 - Department of Mathematics.
University of Toronto. View
PDF
Measures of
dependence for multivariate Levy distributions.
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Authors: J. Bolland, T. Hurd and M. Pivato, L. Seco.
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Disordered and Complex Systems, edited by P. Sollich et al. American Institute of Physics. 2001. View PDF
Analytical methods for multivariate stable
probability distributions.
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Author: Marcus Pivato
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Ph.D. thesis. 2001 - Department of Mathematics.
University of Toronto. View
PDF
Non-Gaussian Univariate Distributions.
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Author: Nicolas Hernandez
and Luis Seco
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RiskLab - AlgoReserachQuaterly, Jan 2000. View PDF
Market Risk
Principal component Value-at-Risk (2001)
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Authors: R. Brummelhuis, A. Cordoba, M. Quintanilla, L. Seco.
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Journal of Mathematical Finance (2001), Vol 12 (1), 23-43. View
PDF
Principal component Value-at-Risk (2000)
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Authors: R. Brummelhuis, A. Cordoba, M. Quintanilla, L. Seco.
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International Journal of Theoretical and Applied
Finance, Vol 3,
number 3 (2000), pp 541-545. View PDF
Harmonic Analysis in Value at Risk Calculations,
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Authors: Claudio Albanese and Luis Seco
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Publication. 2000 View PDF
Modelling and Estimation of Financial Time
Series. Non-Gaussian ARMA
models.
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Authors: Nicolas Hernandez,
Marcos Escobar and Luis Seco.
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Technical Report, 2000. View ps
Extreme Value Theory techniques for
scenario generation.
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Authors: S. Carillo,
M. Escobar, P. Fernández, G. Comezañas, N. Hernández,
L. Seco
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Technical Report. 2000. View PDF
Gaussian Processes for Financial Time Series, a C++
Implementation,.
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Authors: Sebastian Ferrando and Massimo Pascazi. RiskLab and Ryerson Polytechnic University.
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Technical Report, 1999. View PDF
Viscosity solutions for non-linear
degenerate partial differential equations and some of its applications.
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Auhtor: Yi Zhan.
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Ph.D. thesis. 1999 - Department of Mathematics.
University of Toronto. View
PDF
Asymptotic Expansion for Value at Risk.
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Author: Maite Quintanilla.
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Master's thesis 1998 .Department of Mathematics.
University of Toronto. View
PDF
Incomplete Markets
Mathematical Problems in the Theory of
Incomplete Markets.
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Author: David Saunders.
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Ph.D. thesis. 2001 - Department of Mathematics.
University of Toronto. View ps
Applications of Optimization to
Mathematical Finance.
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Author: Dave Saunders.
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Master's thesis 1998. Department of Mathematics.
University of Toronto. View
PDF