People
Research
Publications
Events
Training
Contact
Publications
Filter by Category
Asset Management
Credit Derivatives
Incomplete Markets
Market Risk
Non-Gaussianity
Review of CDOs Pricing Models
Working Paper. 2005
Credit Derivatives
abstract
download pdf
link
⧉
Defaultable Forward Contracts
Working Paper. 2004
Credit Derivatives
abstract
download pdf
link
⧉
Valuation of Collateralized Fund Obligation
Working Paper. 2004
Credit Derivatives
abstract
download pdf
link
⧉
Pricing nth dimensional Barrier Derivatives
Submitted to the Journal of Mathematical Finance. 2004.
Credit Derivatives
abstract
download pdf
link
⧉
Dependences Structures and the Pricing CDOs
Working Paper. 2005
Credit Derivatives
abstract
download pdf
link
⧉
New families of distributions fitting L-moments for modeling financial data
Submitted 2003
Non-Gaussianity
abstract
download pdf
link
⧉
A theoretical comparison between moments and L-moments
Submitted 2003
Non-Gaussianity
abstract
download pdf
link
⧉
Stable distribution: A survey on simulation and calibration methodologies
Publication 2003.
Non-Gaussianity
abstract
download pdf
link
⧉
Distressed considerations in the construction of hedge fund portfolios
Canadian Hedge Watch, June 2002
Asset Management
abstract
download pdf
link
⧉
Portfolio Optimization when assets have the gaussian mixture distribution
Proceedings of the Mercado de Futuros, Madrid 2002
Asset Management
abstract
download pdf
link
⧉
Next
Stay in touch for our latest research.
Thank you - you will hear from us soon!
Something went wrong.
