Publications

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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
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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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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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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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Extreme Value Theory techniques for scenario generation

Technical Report. 2000
Market Risk
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