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Review of CDOs Pricing Models
Working Paper. 2005
Credit Derivatives
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Defaultable Forward Contracts
Working Paper. 2004
Credit Derivatives
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Pricing nth dimensional Barrier Derivatives
Submitted to the Journal of Mathematical Finance. 2004.
Credit Derivatives
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Valuation of Collateralized Fund Obligation
Working Paper. 2004
Credit Derivatives
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New families of distributions fitting L-moments for modeling financial data
Submitted 2003
Non-Gaussianity
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Dependences Structures and the Pricing CDOs
Working Paper. 2005
Credit Derivatives
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A theoretical comparison between moments and L-moments
Submitted 2003
Non-Gaussianity
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Stable distribution: A survey on simulation and calibration methodologies
Publication 2003.
Non-Gaussianity
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Nongaussian Multivariate Simulations in Mark-to-Future calculations
Proceedings of the Mercado de Futuros, Madrid 2002
Non-Gaussianity
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Portfolio Optimization when assets have the gaussian mixture distribution
Proceedings of the Mercado de Futuros, Madrid 2002
Asset Management
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