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