Asset Management

The Brennan-Schwartz Context for Asset Allocation

Credit Derivatives

Review of CDOs Pricing Models

Luis Seco June 28, 2022 11:53 am

Defaultable Forward Contracts

Luis Seco June 28, 2022 11:51 am

Valuation of Collateralized Fund Obligation

Luis Seco June 28, 2022 11:47 am

Pricing nth dimensional Barrier Derivatives

Luis Seco June 28, 2022 11:43 am

Dependences Structures and the Pricing CDOs

Luis Seco June 28, 2022 11:41 am

Incomplete Markets

Mathematical Problems in the Theory of Incomplete Markets

Luis Seco June 28, 2022 11:56 am

Applications of Optimization to Mathematical Finance

Luis Seco June 28, 2022 11:54 am

Market Risk

Principal component Value-at-Risk (2001)

Luis Seco June 28, 2022 12:08 pm

Principal component Value-at-Risk (2000)

Luis Seco June 28, 2022 12:06 pm

Harmonic Analysis in Value at Risk Calculations

Luis Seco June 28, 2022 12:05 pm

Modelling and Estimation of Financial Time Series

Luis Seco June 28, 2022 12:04 pm

Extreme Value Theory techniques for scenario generation

Luis Seco June 28, 2022 12:02 pm

Gaussian Processes for Financial Time Series, a C++ Implementation

Luis Seco June 28, 2022 12:00 pm

Non-Gaussianity

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

Luis Seco June 28, 2022 12:15 pm

A theoretical comparison between moments and L-moments

Luis Seco June 28, 2022 12:15 pm

Stable distribution: A survey on simulation and calibration methodologies

Luis Seco June 28, 2022 12:14 pm

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

Luis Seco June 28, 2022 12:13 pm

Nongaussian Multivariate Simulations in Mark-to-Future calculations

Luis Seco June 28, 2022 12:12 pm

Applications of descriptive measures in Risk Management

Luis Seco June 28, 2022 12:11 pm