Financial Engineering Reports
2008
2008-01 R. Cont and A. Minca: Recovering portfolio default intensities implied by CDO quotes
2008-02 S. Stoikov and M. Saglam: Option Market Making under Inventory Risk
2008-03 E. Derman: A Simple Model for the Expected Premium for Hedge Fund Lockups
2008-04 E. Derman, K. S. Park, and W. Whitt: Markov Chain Models to Estimate the Premium for Extended Hedge Fund Lockups
2008-05 R. Cont and I. Savescu: Forward equations for portfolio credit derivatives
2008-06 E. Derman, K. S. Park, and W. Whitt: A Stochastic Model for Hedge Fund Relative Returns
2007
2007-01 D. Bienstock: Experiments in Robust Portfolio Optimization
2007-02 R. Cont, P. Tankov and E. Voltchkova: Hedging with Options in Models with Jumps
2007-03 P. Glasserman and S. Suchintabandid: Correlation expansions for CDO pricing
2007-04 P. Glasserman and Z. Chen: Fast Pricing of Basket Default Swaps
2007-05 P. Glasserman and N. Chen: Malliavin Greeks without Malliavin Calculus
2007-07 S. Kou and N. Chen: Credit Spreads, Optimal Capital Structure, and Implied Volatility with Endogenous Default and Jump Risk
2007-08 S. Kou and Z. Huang: First Passage Times and Analytical Solutions for Options on Two Assets with Jump Risk
2007-09 S. Kou, C. Heyde and X. Peng: What Is a Good Risk Measure: Bridging the Gaps between Data, Coherent Risk Measures, and Insurance Risk Measures
2007-10 R. Cont and P. Tankov: Constant proportion portfolio insurance in presence of jumps in asset prices.
2007-11 M. Broadie, M Chernov and M Johannes: Understanding index option returns.
2007-12 Pospisil, L., J. Vecer, M. Xu: Tradeable Measures of Risk
2007-13 R. Cont and C. Mancini: Nonparametric test for analyzing the fine structure of price fluctuations.