N. Packham

List of research outcomes

This list is not complete and representing at the moment only items from zbMATH Open and arXiv. We are working on additional sources - please check back here soon!

Publication	Date of Publication	Type
Risk factor aggregation and stress testing Quantitative Finance	2025-01-06	Paper
Hedging cryptocurrency options Review of Derivatives Research	2024-03-19	Paper
Hedging cryptos with Bitcoin futures Quantitative Finance	2023-06-20	Paper
Tail-risk protection trading strategies Quantitative Finance	2018-11-19	Paper
Model risk of contingent claims Quantitative Finance	2018-11-14	Paper
Competition, bonuses, and risk-taking in the banking industry Review of Finance	2018-11-02	Paper
Optimal contracts under competition when uncertainty from adverse selection and moral hazard are present Statistics & Probability Letters	2018-06-14	Paper
Asymptotic behaviour of multivariate default probabilities and default correlations under stress Journal of Applied Probability	2016-04-29	Paper
Asymptotic behaviour of multivariate default probabilities and default correlations under stress Journal of Applied Probability	2016-04-29	Paper
Static hedging under maturity mismatch Finance and Stochastics	2015-08-04	Paper
CORRELATION UNDER STRESS IN NORMAL VARIANCE MIXTURE MODELS Mathematical Finance	2015-04-24	Paper
Latin hypercube sampling with dependence and applications in finance The Journal of Computational Finance	2014-04-23	Paper
Credit gap risk in a first passage time model with jumps Quantitative Finance	2014-03-04	Paper
A Markov approach to credit rating migration conditional on economic states (available as arXiv preprint)	N/A	Paper

Research outcomes over time

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