Dawn Anita Hunter

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Dawn Anita Hunter

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Dawn Anita Hunter

Mathematics

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Applied Mathematics

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#236

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Measure Theory

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Dawn Anita Hunter's Degrees

PhD Applied Mathematics Stanford University
Masters Financial Engineering University of California, Berkeley
Bachelors Mathematics University of California, Berkeley

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Dawn Anita Hunter's Published Works

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Total number of citations to an author for the works they published in a given year. This highlights publication of the most important work(s) by the author

Published Works

A stochastic mesh method for pricing high-dimensional American options (2004) (304)
A public guarantee of a minimum return to defined contribution pension scheme members (2011) (260)
Portfolio optimization with conditional value-at-risk objective and constraints (2002) (139)
Valuation of mortgage-backed securities using Brownian bridges to reduce effective dimension (2000) (125)
Active ageing. (2011) (123)
Basket default swaps, CDOs and factor copulas (2005) (105)
A simple approach to the pricing of Bermudan swaptions in the multifactor LIBOR market model (2000) (78)
Extensions to the Gaussian copula: random recovery and random factor loadings (2005) (66)
Dependent defaults in models of portfolio credit risk (2003) (65)
Merton's model, credit risk and volatility skews (2005) (56)
Incorporating volatility updating into the historical simulation method for value-at-risk (1998) (56)
An analytical approximation for the GARCH option pricing model (2000) (52)
Robust numerical methods for PDE models of Asian options (2000) (48)
Convergence of Monte Carlo simulations involving the mean-reverting square root process (2005) (48)
Regulatory evaluation of value-at-risk models (1999) (48)
Operational risk: the sting is still in the tail but the poison depends on the dose (2007) (46)
Pricing equity default swaps under an approximation to the CGMY Levy model (2007) (45)
Non-parametric calibration of jump–diffusion option pricing models (2004) (45)
Pricing American options: a comparison of Monte Carlo simulation approaches (2001) (44)
Estimation risk in financial risk management (2005) (37)
Benchmarking default prediction models: pitfalls and remedies in model validation (2007) (35)
Numerical methods for controlled Hamilton-Jacobi-Bellman PDEs in finance (2007) (35)
Value-at-risk in portfolio optimization: properties and computational approach (2005) (33)
Numerical investigation of early exercise in American puts with discrete dividends (2001) (33)
Feature (2011) (32)
Penalty and front-fixing methods for the numerical solution of American option problems (2002) (31)
Pricing credit default swaps under Lévy models (2007) (30)
Pricing continuous Asian options: a comparison of Monte Carlo and Laplace transform inversion methods (2000) (29)
Exact pricing formulae for caps and swaptions in a Lévy term structure model (2006) (28)
Backtesting VaR models:a two-stage procedure (2007) (26)
The credit crunch of 2007: what went wrong? Why? What lessons can be learned? (2009) (26)
Evaluation of credit risk of a portfolio with stochastic interest rate and default processes (2000) (26)
A canonical optimal stopping problem for American options and its numerical solution (2000) (25)
On the simultaneous calibration of multifactor lognormal interest rate models to Black volatilities and to the correlation matrix (2000) (24)
Modeling credit exposure for collateralized counterparties (2009) (24)
The Cornish–Fisher expansion in the context of Delta–Gamma-normal approximations (2002) (23)
Predicting financial crashes using discrete scale invariance (1999) (22)
Optimal Fourier inversion in semi-analytical option pricing (2007) (21)
BSLP: Markovian bivariate spread-loss model for portfolio credit derivatives (2008) (21)
An efficient threshold choice for the computation of operational risk capital (2012) (20)
Pricing Asian and basket options via Taylor expansion (2002) (20)
Decomposing portfolio value-at-risk: a general analysis (2003) (20)
Credit value adjustment for credit default swaps via the structural default model (2009) (19)
Calculating credit risk capital charges with the one-factor model (2005) (19)
Quantifying operational risk guided by kernel smoothing and continuous credibility: A practitioner's view (2006) (18)
A simple multifactor "factor adjustment" for the treatment of credit capital diversification (2006) (18)
Evaluating credit risk models using loss density forecasts (2003) (18)
Pricing options on realized variance in the Heston model with jumps in returns and volatility (2008) (17)
VaR-x: Fat tails in financial risk management (1998) (17)
A framework for stress-testing banks' credit risk (2008) (17)
Measuring sectoral diversification in an asymptotic multifactor framework (2006) (17)
Evolving yield curves in the real-world measures: a semi-parametric approach (2005) (16)
Is implied volatility an informationally efficient and effective predictor of future volatility (2002) (15)
Measuring marginal risk contributions in credit portfolios (2006) (15)
Robust numerical valuation of European and American options under the CGMY process (2007) (15)
Using value-at-risk to control risk taking: how wrong can you be? (1999) (15)
VAR risk measures vs traditional risk measures: an analysis and survey (2002) (15)
An application of natural resource evaluation using a simulation-dynamic programming approach (2000) (14)
An integrated CVaR and real options approach to investments in the energy sector (2008) (14)
Fourier space time-stepping for option pricing with Lévy models (2008) (13)
LNGScheduler: a rich model for coordinating vessel routing, inventories and trade in the liquefied natural gas supply chain (2010) (13)
Tests of the performance of structural models in bankruptcy prediction (2010) (13)
A parity result for American options (2000) (12)
Negative coefficients in two-factor option pricing models (2003) (12)
Interaction of market and credit risk: an analysis of inter-risk correlation and risk aggregation (2009) (12)
Fast drift-approximated pricing in the BGM model (2004) (12)
Stochastic volatility and transaction time: an activity-based volatility estimator (1999) (12)
Modeling and measuring multivariate operational risk with Lévy copulas (2008) (12)
Comparative analysis of total risk-based performance measures (2008) (12)
Multi-asset option pricing using a parallel Fourier-based technique (2008) (12)
Calibrating low-default portfolios, using the cumulative accuracy profile (2008) (11)
Representing the CGMY and Meixner Lévy processes as time changed Brownian motions (2008) (11)
In Practice: Loneliness: a public health issue (2012) (11)
Reciprocal energy-switching options (2011) (11)
Operational risk quantification using extreme value theory and copulas: from theory to practice (2009) (11)
Estimating economic capital allocations for market and credit risk (2004) (10)
Improved duration-based backtesting of value-at-risk (2006) (10)
Extended Libor market models with stochastic volatility (2005) (10)
Why So Much Confusion? Debating and Creating Inclusive Schools (1997) (10)
A new robust importance-sampling method for measuring value-at-risk and expected shortfall allocations for credit portfolios (2010) (10)
An empirical investigation into credit spread indices (2001) (10)
Penalty methods for continuous-time portfolio selection with proportional transaction costs (2010) (10)
Stress-testing credit risk parameters: an application to retail loan portfolios (2007) (10)
Optimal importance sampling in securities pricing (2002) (9)
Is credit risk really higher in Islamic banks (2011) (9)
Determinants of operational risk reporting in the banking industry (2006) (9)
Conditional value-at-risk estimation using non-integer values of degrees of freedom in Student's t-distribution (2005) (9)
Efficient pricing of Asian options by the PDE approach (2005) (9)
Pricing counterparty risk at the trade level and credit valuation adjustment allocations (2010) (9)
Bond prices, default probabilities and risk premiums (2005) (9)
Pricing kth-to-default swaps under default contagion: the matrix analytic approach (2008) (8)
Firm value, diversified capital assets, and credit risk: towards a theory of default correlation (2007) (8)
A new PDE approach for pricing arithmetic average Asian options (2001) (8)
The influence of tracking error on volatility risk premium estimation (2007) (8)
A stress test to incorporate correlation breakdown (2000) (8)
Adaptive and high-order methods for valuing American options (2011) (8)
Asset correlations and credit portfolio risk: an empirical analysis (2008) (8)
Credit default swaps with counterparty risk: a calibrated Markov model (2006) (8)
Estimation and decomposition of downside risk for portfolios with non-normal returns (2008) (7)
Factor models for alpha streams (2014) (7)
Copula parameter estimation: numerical considerations and implications for risk management (2010) (7)
Pricing electricity derivatives on an hourly basis (2010) (7)
A technique for calibrating derivative security pricing models: numerical solution of an inverse problem (2000) (7)
Efficient option pricing with transaction costs (2003) (7)
Static replication of barrier options: some general results (2002) (7)
Intertemporal risk parity: a constant volatility framework for factor investing (2014) (7)
Risk analysis and the NIG distribution (2000) (7)
Realized hedge ratio properties, performance and implications for risk management: evidence from the Spanish IBEX 35 spot and futures markets (2010) (6)
Pricing of Occupation Time Derivatives: Continuous and Discrete Monitoring (2001) (6)
Operational risk and insurance: a ruin-probabilistic reserving approach (2008) (6)
Valuation and hedging of weather derivatives on monthly average temperature (2007) (6)
Pricing synthetic CDO tranches in a model with default contagion the matrix analytic approach (2008) (6)
Finite sample properties of EMM, GMM, QMLE and MLE for a square-root interest rate diffusion model (2002) (6)
How to account for extreme co-movements between individual stocks and the market (2004) (6)
Pricing corporate bonds with dynamic default barriers (2003) (6)
A multivariate Markov model for simulating correlated defaults (2002) (6)
Discrete hedging under piecewise linear risk minimization (2003) (6)
Basel requirements of downturn loss given default: modeling and estimating probability of default and loss given default correlations (2006) (6)
Value-at-risk using the factor-ARCH model (1999) (6)
Transmission capacity between Norway and Germany: a real options analysis (2011) (6)
Limiting taxpayer “puts”: an example from central counterparties (2015) (6)
Backtesting value-at-risk accuracy: a simple new test (2007) (6)
Multi-year dynamics for forecasting economic and regulatory capital in banking (2007) (5)
Value-at-risk and extreme value distributions for financial returns (2008) (5)
An adaptive procedure for estimating coherent risk measures based on generalized scenarios (2008) (5)
Reconstructing the unknown local volatility function (2000) (5)
Discrete extrema of Brownian motion and pricing of exotic options (2007) (5)
Estimating and validating long-run probability of default with respect to Basel II requirements (2008) (5)
Using Monte Carlo simulation and importance sampling to rapidly obtain jump-diffusion prices of continuous barrier options (2007) (5)
Pricing and hedging callable Libor exotics in forward Libor models (2005) (5)
Hypothesis management for information fusion (2002) (5)
A tree-based method to price American options in the Heston model (2009) (5)
On testing the equality of multiple Sharpe ratios, with application on the evaluation of iShares (2008) (5)
Saddlepoint approximation method for pricing CDOs (2006) (5)
Stochastic kriging for efficient nested simulation of expected shortfall (2010) (5)
LP valuation of exotic American options exploiting structure (2000) (5)
Approximating American options and other financial contracts using barrier derivatives (2000) (5)
A conditional independence approach for portfolio risk evaluation (2004) (5)
Double barrier options: valuation by path counting (2000) (5)
Option valuation using the fast Fourier transform (2000) (5)
Estimating expected losses and liquidity discounts implicit in debt prices (2002) (5)
Credit migration risk modeling (2010) (5)
Option calibration of exponential Lévy models: confidence intervals and empirical results (2014) (5)
Backtesting risk methodologies from one day to one year (2007) (5)
A finite-difference method for the valuation of variance swaps (2001) (5)
Credit models and the crisis: default cluster dynamics and the generalized Poisson loss model (2010) (5)
Estimating high quantiles for electricity prices by stable linear models (2008) (5)
On the aggregation of local risk models for global risk management (2005) (4)
From actual to risk-neutral default probabilities: Merton and beyond (2010) (4)
The value of non-financial information in SME risk management (2010) (4)
Partially exact and bounded approximations for arithmetic Asian options (2006) (4)
The Swedish inflation fan charts: an evaluation of the Riksbank's inflation density forecasts (2008) (4)
Dynamic hedging with a deterministic local volatility function model (2001) (4)
Modeling correlated frequencies with application in operational risk management (2015) (4)
American options and the LSM algorithm: quasi-random sequences and Brownian bridges (2005) (4)
Operational loss scaling by exposure indicators: evidence from the ORX database (2008) (4)
Dynamic mean-variance portfolio analysis under model risk (2009) (4)
Modeling operational risk in business processes (2007) (4)
A non-Gaussian stochastic volatility model (2000) (4)
Path-dependent option pricing: the path integral partial averaging method (2003) (4)
The Lévy Libor model with default risk (2006) (4)
Robust conditional variance estimation and value-at-risk (2002) (4)
A percolation approach to modeling credit loss distribution under contagion (2004) (4)
A general dimension reduction technique for derivative pricing (2006) (4)
CADRE: continuous analysis and discovery from relational evidence (2003) (4)
Long–short portfolio optimization in the presence of discrete asset choice constraints and two risk measures (2010) (4)
Evaluating value-at-risk measures in the presence of long memory conditional volatility (2008) (4)
An empirical investigation of the rank correlation between different risk measures (2004) (4)
The fallacy of an overly simplified asymptotic single-risk-factor model (2012) (4)
The structure of credit risk: spread volatility and ratings transitions (2003) (4)
Cap and swaption approximations in Libor market models with jumps (2003) (4)
Time transformations, intraday data, and volatility models (2001) (4)
Combining underreported internal and external data for operational risk measurement (2008) (4)
Credit portfolio risk and probability of default confidence sets through the business cycle (2005) (4)
Modeling drawdowns and drawups in financial markets (2004) (4)
Double-t copula pricing of structured credit products: practical aspects of a trustworthy implementation (2009) (4)
Intra-daily smoothing splines for time-varying regression models of hourly electricity load (2010) (4)
Default and recovery rates of Asia-Pacific corporate bond issuers, 1990–2003 (2005) (4)
Valuation of a natural gas storage facility (2008) (4)
Estimation of operational risk capital charge under parameter uncertainty (2008) (3)
Nonparametric estimation of an implied volatility surface (2000) (3)
Implied volatility surface reconstruction for energy markets: spot price modeling versus surface parametrization (2011) (3)
A robust test of Merton's structural model for credit risk (2003) (3)
A semiparametric factor model for electricity forward curve dynamics (2008) (3)
Correlation and asset correlation in the structural portfolio model (2008) (3)
Various types of double-barrier options (2001) (3)
Accelerating Monte Carlo: quasirandom sequences and variance reduction (2000) (3)
Calibration of local volatility using the local and implied instantaneous variance (2009) (3)
Semi-analytical pricing of defaultable bonds in a signaling jump-default model (2003) (3)
A semi-analytical method for pricing and hedging continuously sampled arithmetic average rate options (2001) (3)
A parallel time stepping approach using meshfree approximations for pricing options with non-smooth payoffs (2007) (3)
Risk-neutral correlations in the pricing and hedging of basket credit derivatives (2005) (3)
Barrier option pricing for assets with Markov-modulated dividends (2006) (3)
Empirical likelihood for value-at-risk and expected shortfall (2008) (3)
Central bank vulnerability and the credibility of its commitments: a value-at-risk approach (1999) (3)
Pricing of spread options on stochastically correlated underlyings (2009) (3)
Value-at-risk estimation using non-integer degrees of freedom of Student's distribution (2002) (3)
Forecasting credit card portfolio losses in the Great Recession: a study in model risk (2015) (3)
Extreme value theory and high quantile convergence (2006) (3)
Short time-scale in S&P500 volatility (2003) (3)
Corporate risk management and speculative motives (2007) (3)
Convergence analysis of Crank–Nicolson and Rannacher time-marching (2006) (3)
Numerical estimation of volatility values from discretely observed diffusion data (2006) (3)
Finite element valuation of swing options (2008) (3)
Operational Risk Quantification : A Risk Flow Approach (2010) (3)
Forecasting portfolio risk in normal and stressed markets (2001) (3)
Evaluating carbon governance: the clean development mechanism from an emerging economy perspective (2010) (3)
A review of the key issues in operational risk capital modeling (2010) (3)
Valuation of commodity-based swing options (2010) (3)
Cost-optimal static super-replication of barrier options: an optimization approach (2007) (3)
Histogram models for robust portfolio optimization (2007) (3)
Valuing American options in the presence of user-defined smiles and time-dependent volatility: scenario analysis, model stress and lower-bound pricing applications (2001) (3)
Latin hypercube sampling with dependence and applications in finance (2010) (3)
Kernel quantile based estimation of expected shortfall (2010) (3)
Improving grid-based methods for estimating value-at-risk of fixed-income portfolios (2001) (3)
The comovements along the forward curve of natural gas futures: a structural view (2008) (3)
A canonical optimal stopping problem for American options under a double exponential jump-diffusion model (2007) (3)
Validation of credit rating systems using multi-rater information (2007) (3)
The reduction of forward rate dependent volatility HJM models to Markovian form: pricing European bond options (2000) (3)
The equity option volatility smile: an implicit finite-difference approach (2000) (3)
Computation of VaR and VaR contribution in the Vasicek portfolio credit loss model: a comparative study (2007) (3)
A chaos expansion approach for the pricing of contingent claims (2015) (3)
Pricing moving average barrier options (2002) (3)
On the time scaling of value-at-risk with trading (2012) (2)
The multiple-mean-reversion jump-diffusion model for Nordic electricity spot prices (2011) (2)
The pricing of discretely sampled Asian and lookback options: a change of numeraire approach (2000) (2)
A new integral representation of the early exercise boundary for American put options (2000) (2)
The role of the loss function in value-at-risk comparisons (2015) (2)
The elasticity of interest rate volatility: Chan, Karolyi, Longstaff, and Sanders revisited (1998) (2)
Potential Future Exposure Calculations of Multi-Asset Exotic Products using the Stochastic Mesh Method (2010) (2)
A new algorithm for constructing implied binomial trees: does the implied model fit any volatility smile? (2001) (2)
Efficient filtering of financial time series and extreme value theory (2005) (2)
Efficiency and transmission in European energy markets: a seminon-parametric approach (2008) (2)
Control variates for Monte Carlo valuation of American options (2005) (2)
Numerical techniques for the valuation of basket options and their Greeks (2010) (2)
Structuring, pricing and hedging double-barrier step options (2002) (2)
Portfolio selection with marginal risk control (2010) (2)
Planning in an age of uncertainty. (1983) (2)
Modeling electricity prices by potential Lévy diffusions (2009) (2)
Granularity in a qualitative factor model (2009) (2)
Pricing corporate bonds in an arbitrary jump-diffusion model based on an improved Brownian-bridge algorithm (2011) (2)
Modeling multi-period corporate default probability when hazard ratios decay (2009) (2)
Pricing guaranteed return rate products and discretely sampled Asian options (2006) (2)
The relationship between default and economic cycle across countries for retail portfolios (2008) (2)
Tail approximation for credit risk portfolios with heavy-tailed risk factors (2006) (2)
Computation of value-at-risk for nonlinear portfolios (2000) (2)
Modeling credit spreads with the Cheyette model and its application to credit default swaptions (2009) (2)
Recursive valuation of Basket Default Swaps (2006) (2)
The singular points binominal method for pricing American path-dependent options (2010) (2)
Random movements of power prices in competitive markets: a hybrid model approach (2008) (2)
Correlation matrix with block structure and efficient sampling methods (2010) (2)
Credit migration and basket derivatives pricing with copulas (2006) (2)
Optimal ALM strategies for defined benefit pension plans (2000) (2)
A comparison of loss aggregation methods for operational risk (2008) (2)
A statistical method to optimize the combination of internal and external data in operational risk measurement (2007) (2)
Backtesting general spectral risk measures with application to expected shortfall (2015) (2)
Selecting an innovation distribution for Garch models to improve efficiency of risk and volatility estimation (2004) (2)
A swaption volatility model using Markov regime switching (2008) (2)
Fourier transform algorithms for pricing and hedging discretely sampled exotic variance products and volatility derivatives under additive processes (2014) (2)
Large stock market price drawdowns are outliers (2002) (2)
Corporate defence: are stakeholder's interests adequately defended? (2006) (2)
Option pricing by transform methods: extensions, unification and error control (2004) (2)
Pricing and hedging quanto options in energy markets (2015) (2)
Balance sheet exposures leading towards the credit crunch in global investment banks (2009) (2)
Efficient variations of the Fourier transform in applications to option pricing (2014) (2)
Clinical Research and Regulatory Affairs invites you to submit your research (2013) (2)
How banks’ capital ratio and size affect the stability of the banking system: a simulation-based study (2015) (2)
Simple, fast and flexible pricing of Asian options (2001) (2)
Estimating operational risk capital for correlated, rare events (2009) (2)
Technical note: Dependence and two-asset options pricing (2004) (2)
A modified Panjer algorithm for operational risk capital calculations (2009) (2)
Value-at-risk analysis for energy commodities: long-range dependencies and fat-tails in return innovations (2008) (2)
Optimal portfolio choice using the maximum Sharpe ratio (2010) (2)
A PDE method for computing moments (2000) (2)
The most general methodology for creating a valid correlation matrix for risk management and option pricing purposes (2000) (2)
Fallacies about the effects of market risk management systems (2002) (2)
Impacts of regulatory announcements on CO 2 prices (2009) (2)
Oil demand and energy security in Asian countries (2011) (2)
Biases in estimating bank loan default probabilities (2005) (2)
Applications of weather derivatives in the energy market (2015) (2)
Computing tails of compound distributions using direct numerical integration (2009) (2)
Life-cycle asset allocation and consumption using stochastic linear programming (2009) (2)
A statistical modeling approach to building an expert credit risk rating system (2010) (2)
Risk-sensitive portfolio optimization with transaction costs (2004) (2)
Speed and accuracy comparison of bivariate normal distribution approximations for option pricing (2003) (2)
The German model of risk distribution in supplementary occupational pensions (2011) (2)
Cave quid optes: waterfalls and central counterparty capital (2015) (2)
Krylov subspace reduction and its extensions for option pricing (2000) (1)
Country default probabilities: assessing and backtesting (2007) (1)
American option pricing and exercising with transaction costs (2005) (1)
Sparse wavelet methods for option pricing under stochastic volatility (2005) (1)
Modeling Operational Loss Severity Distributions from Consortium Data (2010) (1)
Lognormal approximations to Libor market models (2002) (1)
Forecasting industry sector default rates through dynamic factor models (2008) (1)
Accurate approximations for European-style Asian options (2000) (1)
Managing operational risk capital in financial institutions (2008) (1)
Uncertain Volatility Model: A Monte-Carlo Approach (2011) (1)
Issues in the pricing of synthetic CDOs (2005) (1)
Overcoming dimensional dependence of worst case scenarios and maximum loss (2008) (1)
Risk management based on stochastic volatility (2003) (1)
The systematic and idiosyncratic modules of bankruptcy risk (2009) (1)
A closed-form solution for perpetual American floating strike lookback options (2001) (1)
Conditional value-at-risk in the presence of multiple probability measures (2002) (1)
Generalized control variate methods for pricing Asian options (2010) (1)
Unconstrained fitting of implied volatility surfaces using a mixture of normals (2004) (1)
Computing the value-at-risk of aggregate severities (2012) (1)
Achieving decorrelation and speed simultaneously in the Libor market model (2006) (1)
Operational risk: analytical results when high-severity losses follow a generalized Pareto distribution (GPD) – a note (2006) (1)
Central bank intervention in large-value payment systems: an experimental approach (2015) (1)
MF Global: a case study of liquidity risks (2014) (1)
Partial proxy simulation schemes for generic and robust Monte Carlo Greeks (2008) (1)
A review of backtesting and backtesting procedures (2007) (1)
Space–time diversification: which dimension is better? (2003) (1)
A nonexploding bushy tree technique and its application to the multifactor interest rate market model (2001) (1)
American options in Lévy models with stochastic interest rates (2009) (1)
Arbitrage-free estimation of the risk-neutral density from the implied volatility smile (2003) (1)
Empirical analysis of asymmetric long memory volatility models in value-at-risk estimation (2010) (1)
Variance reduction techniques for pricing American options using function approximations (2009) (1)
Adaptive control variates for pricing multi-dimensional American options (2007) (1)
Governance of payment systems: a theoretical framework and cross-country comparison (2014) (1)
Firm specific option risk and implications for asset pricing (2009) (1)
Saddlepoint methods for option pricing (2009) (1)
Modeling operational risk data reported above a time-varying threshold (2009) (1)
The Brownian bridge E-M algorithm for covariance estimation with missing data (2000) (1)
A practical guide to volatility forecasting through calm and storm (2012) (1)
Recalibrating credit risk models – a theoretical perspective with practical implications (2008) (1)
An exit-probability-based approach for the valuation of defaultable securities (2002) (1)
Portfolio allocation to corporate bonds with correlated defaults (2002) (1)
The pricing of floating rate instruments (2000) (1)
Combining scenario and historical data in the loss distribution approach: a new procedure that incorporates measures of agreement between scenarios and historical data (2015) (1)
An assessment of the internal rating-based approach in Basel II (2008) (1)
Efficient execution in the secondary mortgage market: a stochastic optimization model using CVaR constraints (2007) (1)
Default intensity and expected recovery of Japanese banks and the government: new evidence from the CDS market (2007) (1)
The valuation of correlation-dependent credit derivatives using a structural model (2010) (1)
Food Co-Operatives (2011) (1)
Pricing Energy Derivatives by Linear Programming: Tolling Agreement Contracts (2011) (1)
Fifty years of UK asset price volatility (2000) (1)
A data-driven optimization heuristic for downside risk minimization (2006) (1)
How to solve multiasset Black-Scholes with time-dependent volatility and correlation (2001) (1)
The distribution of defaults and Bayesian model validation (2007) (1)
Simulation of the annual loss distribution in operational risk via Panjer recursions and Volterra integral equations for value-at-risk and expected shortfall estimation (2007) (1)
Employee turnover: an HR risk with firm-specific context (2007) (1)
Understanding performance measures for validating default risk models: a review of performance metrics (2007) (1)
Comparison of tail performance of the Champernowne transformed kernel density estimator, the generalized Pareto distribution and the g-and-h distribution (2009) (1)
A checklist-based weighted fuzzy severity approach for calculating operational risk exposure on foreign exchange trades under the Basel II regime (2014) (1)
Fast simplified approaches to Asian option pricing (2011) (1)
Modeling insurance mitigation on operational risk capital (2006) (1)
Pricing near the barrier: the case of discrete knock-out options (2000) (1)
Cointegration between gas and power spot prices (2009) (1)
A multiname first-passage model for credit risk (2011) (1)
A series expansion for the bivariate normal integral (2000) (1)
A model of corporate bond pricing with liquidity and marketability risk (2005) (1)
The relationship between counterparty default and interest rate volatility and its impact on the credit risk of interest rate derivatives (2015) (1)
Generalizing the Black–Scholes formula to multivariate contingent claims (2006) (1)
An extended CreditRisk+ framework for portfolio credit risk management (2008) (1)
Model specification analysis in the methanol markets (2010) (1)
GARCH-type volatility models based on Brownian inverse Gaussian intra-day return processes (2006) (1)
Mean–variance optimality of a retirement lump sum conversion strategy: implementation in Australia (2008) (1)
Credit risk: taking fluctuating asset correlations into account (2015) (1)
Analytical and Monte Carlo swaption pricing under the forward swap measure (2002) (1)
Modeling and measuring operational risk (1998) (1)
Computational techniques for basic affine models of portfolio credit risk (2009) (1)
Validation of banks' internal rating systems: a challenging task? (2008) (1)
Performance of Dupire's implied diffusion approach under sparse and incomplete data (2001) (1)
A Bayesian approach for constructing implied volatility surfaces through neural networks (2000) (1)
Factor-risk-constrained mean-variance portfolio selection: formulation and global optimization solution approach (2012) (1)
Analysis of the stability of the linear boundary condition for the Black–Scholes equation (2004) (1)
Counting processes for retail default modeling (2015) (1)
Expected loss and fair value over the credit cycle (2005) (1)
Intra-day risk premia in European electricity forward markets (2009) (1)
Discriminatory power: an obsolete validation criterion? (2008) (1)
Strange facts about the marginal distributions of processes based on the Ornstein-Uhlenbeck process (2011) (1)
Comparison of cashflow maps for value-at-risk (2000) (1)
Analysis of risk factors in the Korean repo market based on US and European repo market experiences during the global financial crisis (2015) (1)
Price dynamics of natural gas components: empirical evidence (2008) (1)
Price cap regulation and investment behavior: how real options can explain underinvestment (2008) (1)
Simple and efficient simulation of the Heston stochastic volatility model (2008) (1)
Peep into Policy, Politics, Parliament (2012) (1)
Approximating independent loss distributions with an adjusted binomial distribution (2012) (1)
Measuring and managing risk in innovative financial instruments (2009) (1)
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Sequential defaults and incomplete information (2004) (0)
Nonparametric estimation of copulas for time series (2003) (0)
Risk prediction: a DWARF-like approach (2008) (0)
Risk capital stress-testing framework and the new capital adequacy rules (2007) (0)
Systematic and idiosyncratic risk in syndicated loan portfolios (2006) (0)
Numerical inversion of Laplace transforms: a survey of techniques with applications to derivative pricing (2000) (0)
Pricing and hedging American-style options: a simple simulation-based approach (2010) (0)
On stiffness in affine asset pricing models (2007) (0)
An almost exact simulation method for the Heston model (2007) (0)
Supply portfolio risk (2009) (0)
Unbiased Monte Carlo valuation of lookback, swing and barrier options with continuous monitoring under variance gamma models (2010) (0)
Modeling conditional correlations for risk diversification in crude oil markets (2009) (0)
Analytic derivatives of asymmetric Garch models (2003) (0)
Market risk computation for nonlinear portfolios (1999) (0)
A supply-and-demand based price model for financial assets (2015) (0)
The impact of volume risk on hedge effectiveness: the case of a natural gas independent power producer operation (2008) (0)
Estimating EAD for retail exposures for Basel II purposes (2008) (0)
A mixing model for operational risk (2008) (0)
Stress testing CDOs (2008) (0)
Computing two-factor deltas using unstructured meshes (2007) (0)
A combined regime-switching and Black–Litterman model for optimal asset allocation (2015) (0)
Robust optimization of currency portfolios (2011) (0)

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