Publications

Filter by Category
Asset Management
Credit Derivatives
Incomplete Markets
Market Risk
Non-Gaussianity

Nongaussian Multivariate Simulations in Mark-to-Future calculations

Proceedings of the Mercado de Futuros, Madrid 2002
Non-Gaussianity
abstractdownload pdflink ⧉

Applications of descriptive measures in Risk Management

Ph.D. thesis. 2002 - Department of Mathematics. University of Toronto
Non-Gaussianity
abstractdownload pdflink ⧉

Measures of dependence for multivariate Levy distributions

American Institute of Physics. 2001
Non-Gaussianity
abstractdownload pdflink ⧉

Analytical methods for multivariate stable probability distributions

Ph.D. thesis. 2001 - Department of Mathematics. University of Toronto
Non-Gaussianity
abstractdownload pdflink ⧉

Principal component Value-at-Risk

Journal of Mathematical Finance (2001), Vol 12 (1), 23-43.
Market Risk
abstractdownload pdflink ⧉

Mathematical Problems in the Theory of Incomplete Markets

Ph.D. thesis. 2001 - Department of Mathematics. University of Toronto
Incomplete Markets
abstractdownload pdflink ⧉

The Brennan-Schwartz context for asset allocation

Master's thesis. 2000 - Department of Mathematics. University of Toronto
Asset Management
abstractdownload pdflink ⧉

Pricing credit derivatives and credit risk

Master's thesis. 2000 - Department of Mathematics. University of Toronto
Credit Derivatives
abstractdownload pdflink ⧉

Non-Gaussian Univariate Distributions

RiskLab - AlgoReserachQuaterly, Jan 2000
Non-Gaussianity
abstractdownload pdflink ⧉

Principal component Value-at-Risk

International Journal of Theoretical and Applied Finance, Vol 3, number 3 (2000), pp 541-545
Market Risk
abstractdownload pdflink ⧉
Previous
Next
open positions →
contact →
Icons by Icons8