Asset Management

Distressed considerations in the construction of hedge fund portfolios

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Portfolio Optimization when assets have the gaussian mixture distribution

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Credit Derivatives

Review of CDOs Pricing Models

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Defaultable Forward Contracts

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Valuation of Collateralized Fund Obligation

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Pricing nth dimensional Barrier Derivatives

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Dependences Structures and the Pricing CDOs

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Incomplete Markets

Mathematical Problems in the Theory of Incomplete Markets

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Applications of Optimization to Mathematical Finance

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Market Risk

Principal component Value-at-Risk (2001)

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Principal component Value-at-Risk (2000)

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Harmonic Analysis in Value at Risk Calculations

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Modelling and Estimation of Financial Time Series

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Extreme Value Theory techniques for scenario generation

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

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Non-Gaussianity

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

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A theoretical comparison between moments and L-moments

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Stable distribution: A survey on simulation and calibration methodologies

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

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Nongaussian Multivariate Simulations in Mark-to-Future calculations

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Applications of descriptive measures in Risk Management

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