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Asset Management
Credit Derivatives
Incomplete Markets
Market Risk
Non-Gaussianity

Distressed considerations in the construction of hedge fund portfolios

Canadian Hedge Watch, June 2002
Asset Management
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Applications of descriptive measures in Risk Management

Ph.D. thesis. 2002 - Department of Mathematics. University of Toronto
Non-Gaussianity
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Principal component Value-at-Risk

Journal of Mathematical Finance (2001), Vol 12 (1), 23-43.
Market Risk
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Mathematical Problems in the Theory of Incomplete Markets

Ph.D. thesis. 2001 - Department of Mathematics. University of Toronto
Incomplete Markets
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Analytical methods for multivariate stable probability distributions

Ph.D. thesis. 2001 - Department of Mathematics. University of Toronto
Non-Gaussianity
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Measures of dependence for multivariate Levy distributions

American Institute of Physics. 2001
Non-Gaussianity
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Modelling and Estimation of Financial Time Series

Technical Report, 2000
Market Risk
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Extreme Value Theory techniques for scenario generation

Technical Report. 2000
Market Risk
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The Brennan-Schwartz context for asset allocation

Master's thesis. 2000 - Department of Mathematics. University of Toronto
Asset Management
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Principal component Value-at-Risk

International Journal of Theoretical and Applied Finance, Vol 3, number 3 (2000), pp 541-545
Market Risk
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