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Issue DateTitleAuthor(s)
4-Apr-2018Rogue traders versus value-at-risk and expected shortfallArmstrong, J; Brigo, D
8-Dec-2015Nonlinear filtering via stochastic PDE projection on mixture manifolds in L^2 direct metricArmstrong, J; Brigo, D
1-Jul-2019Optimal approximation of SDEs on submanifolds: the Ito-vector and Ito-jet projectionsArmstrong, J; Brigo, D; Rossi Ferrucci, E
5-May-2021Option pricing models without probability: a rough paths approachArmstrong, J; Bellani, C; Brigo, D; Cass, T;
1-Apr-2019Risk managing tail-risk seekers: VaR and expected shortfall vs S-shaped utilityArmstrong, J; Brigo, D
28-Feb-2018Intrinsic stochastic differential equations as jetsArmstrong, J; Brigo, D
1-Jul-2022Coherent risk measures alone are ineffective in constraining portfolio lossesArmstrong, J; Brigo, D
Sep-2022Non-geometric rough paths on manifoldsArmstrong, J; Brigo, D; Cass, T; Rossi Ferrucci, E;