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Asset Management
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Non-Gaussianity
Nongaussian Multivariate Simulations in Mark-to-Future calculations
Proceedings of the Mercado de Futuros, Madrid 2002
Non-Gaussianity
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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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Measures of dependence for multivariate Levy distributions
American Institute of Physics. 2001
Non-Gaussianity
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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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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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The Brennan-Schwartz context for asset allocation
Master's thesis. 2000 - Department of Mathematics. University of Toronto
Asset Management
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Pricing credit derivatives and credit risk
Master's thesis. 2000 - Department of Mathematics. University of Toronto
Credit Derivatives
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Non-Gaussian Univariate Distributions
RiskLab - AlgoReserachQuaterly, Jan 2000
Non-Gaussianity
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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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