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Issue DateTitleAuthor(s)
-Funding Valuation Adjustment: a consistent framework including CVA, DVA, collateral,netting rules and re-hypothecationPallavicini, A; Perini, D; Brigo, D
8-Dec-2015Nonlinear filtering via stochastic PDE projection on mixture manifolds in L^2 direct metricArmstrong, J; Brigo, D
-Set theory and the analystBingham, NH; Ostaszewski, AJ
1-Jun-2007Cluster-based extension of the generalized poisson loss dynamics and consistency with single namesBrigo, D; Pallavicini, A; Torresetti, R
17-Nov-2015What is the best risk measure in practice? A comparison of standard measuresEmmer, S; Kratz, M; Tasche, D
5-Jul-2016On the conditional small ball property of multivariate Lévy-driven moving average processesPakkanen, MS; Sottinen, T; Yazigi, A; Academy of Finland
1-Feb-2017No-arbitrage bounds for the forward smile given marginalsBadikov, SB; Jacquier, A; Liu, DQ; Roome, PR; Engineering & Physical Science Research Council (EPSRC)
1-Jun-2016Risk management for whalesCont, R; Wagalath, L; Capital Fund Management
4-Nov-2014On modeling economic default time: a reduced-form model approachGu, J-W; Jiang, B; Ching, W-K; Zheng, H
17-Feb-2015A note on utility-based pricing in models with transaction costsDavis, MHA; Yoshikawa, D