An Analysis of the Financial Crisis of 2008: Causes and Solutions
The Black-Litterman Approach: Original Model and Extensions
Risk Management Lessons from Long-Term Capital Management
Review of Statistical Arbitrage, Cointegration, and Multivariate Ornstein-Uhlenbeck
The Fundamentals of Commodity Futures Returns
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The Fundamentals of Commodity Futures Returns
The Fundamentals of Commodity Futures Returns
Managing Diversification
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Understanding VIX
A Practitioner's Guide to Pricing and Hedging Callable Libor Exotics in Forward Libor Models
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Valuing Real Options: Frequently Made Errors
Everything You Always Wanted to Know About Multiple Interest Rate Curve Bootstrapping but Were Afraid to Ask
Understanding CVA, DVA, and FVA: Examples of Interest Rate Swap Valuation
The Promise and Perils of Credit Derivatives
Efficient Simulation of the Heston Stochastic Volatility Model
Fuel Hedging in the Airline Industry: The Case of Southwest Airlines
The Tactical and Strategic Value of Commodity Futures
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The Tactical and Strategic Value of Commodity Futures
The Tactical and Strategic Value of Commodity Futures
How and Why Credit Rating Agencies are Not Like Other Gatekeepers
Forecasting Volatility
Manipulation in the VIX?
Preparing a Referee Report: Guidelines and Perspectives
Risk Management Failures: What are They and When do They Happen?
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Risk Management Failures: What are They and When do They Happen?
Risk Management Failures: What are They and When do They Happen?
Collateralized Debt Obligations and Credit Risk Transfer
Phynance
Economists' Hubris - The Case of Risk Management
Who Needs Hedge Funds? A Copula-Based Approach to Hedge Fund Return Replication
151 Trading Strategies
Do Hedge Funds Hedge?
A Multifractal Model of Asset Returns
Two Curves, One Price: Pricing & Hedging Interest Rate Derivatives Decoupling Forwarding and Discounting Yield Curves
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Two Curves, One Price: Pricing & Hedging Interest Rate Derivatives Decoupling Forwarding and Discounting Yield Curves
Two Curves, One Price: Pricing & Hedging Interest Rate Derivatives Decoupling Forwarding and Discounting Yield Curves
Calculating the VIX in Excel
Portfolio Performance Manipulation and Manipulation-Proof Performance Measures
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Portfolio Performance Manipulation and Manipulation-Proof Performance Measures
Portfolio Performance Manipulation and Manipulation-Proof Performance Measures
Momentum Strategies in Futures Markets and Trend-following Funds
Valuing Interest Rate Swaps Using OIS Discounting
A Multi-Currency Model with FX Volatility Skew
Credit Risk Modeling and Valuation: An Introduction
On Default Correlation: A Copula Function Approach
Interest Rates and The Credit Crunch: New Formulas and Market Models
Calibration Methods of Hull-White Model
The Boy's Guide to Pricing & Hedging
A Stochastic Volatility Forward Libor Model with a Term Structure of Volatility Smiles
High-Water Marks and Hedge Fund Management Contracts
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High-Water Marks and Hedge Fund Management Contracts
High-Water Marks and Hedge Fund Management Contracts
Characteristics of Risk and Return in Risk Arbitrage
A Note on Construction of Multiple Swap Curves with and without Collateral
Dissecting Investment Strategies in the Cross Section and Time Series
A Simple Approach to the Pricing of Bermudan Swaptions in the Multi-Factor Libor Market Model
The Subprime Panic
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