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David Saunder's Publications

Publications

  1. “Analysis of an Inverse First Passage Problem from Risk Management”, SIAM Journal on Mathematical Analysis, 38(3), 2006, pages 845-873. (with L. Cheng, X. Chen and J. Chadam).
  2. “Optimising Omega”, Risk Magazine, November 2006 (with H. Mausser and L. Seco).
  3. “Phase Resetting and Coupling of Noisy Neural Oscillators” Journal of Computational Neuroscience, 20(2), 2006, pages 179-90 (with B. Ermentrout).
  4. “Asset and Liability Management for Insurance Products with Minimum Guarantees: The UK Case”, Journal of Banking and Finance, 30(2), 2006, pages 645-667 (with A. Consiglio and S. Zenios).
  5. “Credit Risk Optimization Using Factor Models”, to appear, Annals of Operations Research. (Accepted March, 2005), 43 manuscript pages (with C. Xiouros and S. Zenios).
  6. “Portfolio Optimization when Asset Returns have the Gaussian Mixture Distribution”, to appear, European Journal of Operational Research. (Accepted, January, 2005), 31 pages (with I. Buckley and L. Seco).
  7. “Risk Management in Emerging Markets: Practical Methodologies and Empirical Tests”, to appear, Multinational Finance Journal. (Accepted, January 2004), 42 pages (with M. Nerouppos, C. Xiouros, and S. Zenios).
  8. “Insurance League: Italy vs. UK”, Journal of Risk Finance, Summer, 2003, pages 47- 54 (with A. Consiglio and S. Zenios).
  9. “Valuation in Incomplete Markets: An Optimization Approach”, Algo Research Quarterly, 3(2):29--37, 2000 (with R. Dembo and D. Rosen).

Working Papers

  1. “Analytic Methods for Hedging Systematic Credit Risk with Linear Factor Portfolios”, 2006, 34 pages, (with D. Rosen) Submitted to Journal of Economic Dynamics and Control.
  2. “Factor Contributions and Hedging of Systematic Risk in Multi-Factor Credit Portfolio Models”, 2006, 18 pages, (with D. Rosen).
  3. “General Methods for Pricing Bespoke CDOs Using Multifactor Models”, 2006, 13 pages (with Z. Jin and D. Rosen).
  4. “Analytical Techniques for Global Sensitivity Analysis for Factor Models of Portfolio Credit Risk”, 2006, 23 pages (with D. Rosen).
  5. “The Right Way and the Wrong Way: Simulation Methods for Correlated Counterparty Credit Risk”, 23 pages (with J.C. Garcia Cespedes, J.A. de Juan Herrero, and D. Rosen) Submitted to Risk.
  6. “Parameter Estimation in a Partially Observed Stochastic Drift Hidden Markov Model”. RiskLab Toronto Working Paper, 22 pages (with J. Hernandez-Cortes and L. Seco).
  7. “Asymptotic Analysis of the Critical Stock Price for the American Put in a Class of Jump Diffusion Models”, 2004, 8 pages, (with J. Chadam).
  8. “Small Time Behavior of the Critical Stock Price for the American Put Option in Volatility Surface Models”, 2004, 12 pages, (with J. Chadam).
  9. “Numerical Computation of First-Crossing Boundary Problem”, University of Pittsburgh Working Paper, 2004, 16 pages (with L. Cheng, X. Chen and J. Chadam).

Technical Reports

  1. “Measuring Portfolio Credit Risk for a Cypriot Commercial Bank”. Working Paper 02- 11, HERMES European Center of Excellence on Computational Finance and Economics, University of Cyprus, 2002, 101 pages (with C. Xiouros and S. Zenios).
  2. “The Risks of the Cyprus and Athens Stock Exchanges”. Working Paper 02-05, HERMES European Center of Excellence on Computational Finance and Economics, University of Cyprus, 2002, (83 pages). (A study published by HERMES European Center of Excellence on Computational Finance and Economics and presented at an open forum on the Cyprus stock exchange bubble, followed by speeches in response by the Cypriot Minister of Finance, Chairman of the Cypriot Securities and Exchange Commission, Chairman of the Cyprus Stock Exchange, and a member of the Cypriot Parliament)

 

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