Others (Market Risk, Incomplete Markets)
Portfolio Optimization when assets have the gaussian mixture distribution.
Authors: I. Buckley, G. Comezana, B. Djerroud, L. Seco.
Proceedings of the Mercado de Futuros, Madrid 2002. View PDF
Distressed considerations in the construction of hedge fund portfolios.
Canadian Hedge Watch, June 2002. View PDF
The Brennan-Schwartz context for asset allocation.
Author: Nigel Hernandez.
Master's thesis. 2000 - Department of Mathematics. University of Toronto. View PDF
Multivariate Affine Models for Futures Prices.
Author: M. Escobar and L. Seco.
Working paper 2004.
Residual Model for Futures Prices.
Author: M. Escobar and L. Seco.
Submitted to The Journal of Futures 2004, View PDF
Mathematical Treatment of Commodity Markets.
Author: Marcos Escobar
Ph.D. thesis 2004. Department of Mathematics. University of Toronto.
Stochastic Processes Estimation. Energy Markets.
Author: Janko Hernandez
Working paper, 2004.
Term structure of commodities futures: forecasting and pricing
Auhtor: M. Escobar and L. Seco.
RiskLab - AlgoReserachQuaterly, Jan 2003. View PDF
Pricing derivatives on commodity futures prices.
Auhtor: M. Escobar and L. Seco.
Working Paper. 2002
Review of CDOs Pricing Models..
Author: Marcos Escobar and Luis Seco.
Working Paper. 2005. View pdf.
Dependences Structures and the Pricing CDOs..
Author: Marcos Escobar and Luis Seco.
Working Paper. 2005. View Presentation.
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. View PDF.
Pricing nth dimensional Barrier Derivatives.
Author: Marcos Escobar and Luis Seco.
Submitted to the Journal of Mathematical Finance. 2004. View PDF (Abstract)
Pricing credit derivatives and credit risk.
Author: Ed Watson
Master's thesis. 2000 - Department of Mathematics. University of Toronto. View PDF
New families of distributions fitting L-moments for modeling financial data.
Authors: S. Carrillo and N. Hernandez, L. Seco.
Submitted to .2003. View PDF.
A theoretical comparison between moments and L-moments.
Authors: S. Carrillo and N. Hernandez, L. Seco.
Submitted to .2003. View PDF
Stable distribution: A survey on simulation and calibration methodologies.
Authors: P. Olivares, L. Seco.
Technical Report , 2003. View PDF
Estimating the spectral measure of a multivariate stable distribution via spherical harmonic analysis.
Authors: M. Pivato, L. Seco.
Publication 2003. View PDF
Nongaussian Multivariate Simulations in Mark-to-Future calculations.
Authors: O. Criossant, G. Comezana, M. Escobar, P. Fernandez, N. Hernandez, L. Seco.
Proceedings of the Mercado de Futuros, Madrid 2002. View PDF
Applications of descriptive measures in Risk Management.
Author: Nicolas Hernandez
Ph.D. thesis. 2002 - Department of Mathematics. University of Toronto. View PDF
Measures of dependence for multivariate Levy distributions.
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. View PDF
Analytical methods for multivariate stable probability distributions.
Author: Marcus Pivato
Ph.D. thesis. 2001 - Department of Mathematics. University of Toronto. View PDF
Non-Gaussian Univariate Distributions.
Author: Nicolas Hernandez and Luis Seco
RiskLab - AlgoReserachQuaterly, Jan 2000. View PDF
Liquidity Risk Estimation: Non-Gaussian AR Models and Quantile Expansions.
Author: Marcos Escobar
Ph.D. thesis 2005. Department of Mathematics. University of Toronto.
Liquidity adjustment of VaR.
Author: Alejandro de los Santos
Working Paper, 2004.
Models for Liquidity Risk.
Author: Alejandro de los Santos
Working Paper, 2004.
Market Risk
Principal component Value-at-Risk (2001)
Authors: R. Brummelhuis, A. Cordoba, M. Quintanilla, L. Seco.
Journal of Mathematical Finance (2001), Vol 12 (1), 23-43. View PDF
Principal component Value-at-Risk (2000)
Authors: R. Brummelhuis, A. Cordoba, M. Quintanilla, L. Seco.
International Journal of Theoretical and Applied Finance, Vol 3,
number 3 (2000), pp 541-545. View PDF
Harmonic Analysis in Value at Risk Calculations,
Authors: Claudio Albanese and Luis Seco
Publication. 2000 View PDF
Modelling and Estimation of Financial Time Series. Non-Gaussian ARMA models.
Authors: Nicolas Hernandez, Marcos Escobar and Luis Seco.
Technical Report, 2000. View ps
Extreme Value Theory techniques for scenario generation.
Authors: S. Carillo, M. Escobar, P. Fernández, G. Comezañas, N. Hernández, L. Seco
Technical Report. 2000. View PDF
Gaussian Processes for Financial Time Series, a C++ Implementation,.
Authors: Sebastian Ferrando and Massimo Pascazi. RiskLab and Ryerson Polytechnic University.
Viscosity solutions for non-linear degenerate partial differential equations and some of its applications.
Asymptotic Expansion for Value at Risk.
Author: Maite Quintanilla.
Master's thesis 1998 .Department of Mathematics. University of Toronto. View PDF
Incomplete Markets
Mathematical Problems in the Theory of Incomplete Markets.
Author: David Saunders.
Ph.D. thesis. 2001 - Department of Mathematics. University of Toronto. View ps
Applications of Optimization to Mathematical Finance.
Author: Dave Saunders.
Master's thesis 1998. Department of Mathematics. University of Toronto. View PDF