| no |
title |
author |
magazine |
year |
volume |
issue |
page(s) |
type |
| 1 |
A linearly implicit predictor–corrector scheme for pricing American options using a penalty method approach
|
Khaliq, A.Q.M.
|
|
2006
|
30 |
2 |
p. 489-502
14 p.
|
article
|
| 2 |
A moment computation algorithm for the error in discrete dynamic hedging
|
Primbs, James A.
|
|
2006
|
30 |
2 |
p. 519-540
22 p.
|
article
|
| 3 |
Analysis of criteria VaR and CVaR
|
Kibzun, Andrey I.
|
|
2006
|
30 |
2 |
p. 779-796
18 p.
|
article
|
| 4 |
An approximation method for analysis and valuation of credit correlation derivatives
|
Egami, Masahiko
|
|
2006
|
30 |
2 |
p. 341-364
24 p.
|
article
|
| 5 |
Applying CVaR for decentralized risk management of financial companies
|
Mulvey, John M.
|
|
2006
|
30 |
2 |
p. 627-644
18 p.
|
article
|
| 6 |
Asset and liability management for insurance products with minimum guarantees: The UK case
|
Consiglio, Andrea
|
|
2006
|
30 |
2 |
p. 645-667
23 p.
|
article
|
| 7 |
A value-of-information approach to measuring risk in multi-period economic activity
|
Pflug, Georg Ch.
|
|
2006
|
30 |
2 |
p. 695-715
21 p.
|
article
|
| 8 |
Dynamic portfolio selection with process control
|
MacLean, Leonard
|
|
2006
|
30 |
2 |
p. 317-339
23 p.
|
article
|
| 9 |
Economy-wide bond default rates: A maximum expected utility approach
|
Sandow, Sven
|
|
2006
|
30 |
2 |
p. 679-693
15 p.
|
article
|
| 10 |
Editorial Board
|
|
|
2006
|
30 |
2 |
p. CO2-
1 p.
|
article
|
| 11 |
Efficient fund of hedge funds construction under downside risk measures
|
Morton, David P.
|
|
2006
|
30 |
2 |
p. 503-518
16 p.
|
article
|
| 12 |
Implied migration rates from credit barrier models
|
Albanese, Claudio
|
|
2006
|
30 |
2 |
p. 607-626
20 p.
|
article
|
| 13 |
Integrating market and credit risk: A simulation and optimisation perspective
|
Jobst, Norbert J.
|
|
2006
|
30 |
2 |
p. 717-742
26 p.
|
article
|
| 14 |
Interaction of credit and liquidity risks: Modelling and valuation
|
Zheng, Harry
|
|
2006
|
30 |
2 |
p. 391-407
17 p.
|
article
|
| 15 |
Master funds in portfolio analysis with general deviation measures
|
Rockafellar, R. Tyrrell
|
|
2006
|
30 |
2 |
p. 743-778
36 p.
|
article
|
| 16 |
Minimizing CVaR and VaR for a portfolio of derivatives
|
Alexander, S.
|
|
2006
|
30 |
2 |
p. 583-605
23 p.
|
article
|
| 17 |
Multi-period stochastic optimization models for dynamic asset allocation
|
Hibiki, Norio
|
|
2006
|
30 |
2 |
p. 365-390
26 p.
|
article
|
| 18 |
Optimal credit limit management under different information regimes
|
Leippold, Markus
|
|
2006
|
30 |
2 |
p. 463-487
25 p.
|
article
|
| 19 |
Portfolio optimization with stochastic dominance constraints
|
Dentcheva, Darinka
|
|
2006
|
30 |
2 |
p. 433-451
19 p.
|
article
|
| 20 |
Portfolio selection using hierarchical Bayesian analysis and MCMC methods
|
Greyserman, Alex
|
|
2006
|
30 |
2 |
p. 669-678
10 p.
|
article
|
| 21 |
Pricing methods and hedging strategies for volatility derivatives
|
Windcliff, H.
|
|
2006
|
30 |
2 |
p. 409-431
23 p.
|
article
|
| 22 |
Risk management and optimization in finance
|
Krokhmal, Pavlo
|
|
2006
|
30 |
2 |
p. 315-
1 p.
|
article
|
| 23 |
The hidden dangers of historical simulation
|
Pritsker, Matthew
|
|
2006
|
30 |
2 |
p. 561-582
22 p.
|
article
|
| 24 |
The magnitude of a market crash can be predicted
|
Novak, S.Y.
|
|
2006
|
30 |
2 |
p. 453-462
10 p.
|
article
|
| 25 |
Utility-based performance measures for regression models
|
Friedman, Craig
|
|
2006
|
30 |
2 |
p. 541-560
20 p.
|
article
|
Journal description