Part I Markets, Regulation, and Model Risk
A Random Holding Period Approach for Liquidity-Inclusive Risk Management
Regulatory Developments in Risk Management: Restoring Confidence in Internal Models
Model Risk in Incomplete Markets with Jumps
Part II Financial Engineering
Bid-Ask Spread for Exotic Options Under Conic Finance
Derivative Pricing Under the Possibility of Long Memory in the supOU Stochastic Volatility Model
A Two-Sided BNS Model for Multicurrency FX Markets
Modeling the Price of Natural Gas with Temperature and Oil Price as Exogenous Factors
Copula-Specific Credit Portfolio Modeling
Implied Recovery Rates?Auctions and Models
Upside and Downside Risk Exposures of Currency Carry Trades via Tail Dependence
Part III Insurance Risk and Asset Management
Participating Life Insurance Contracts Under Risk Based Solvency Frameworks: How to Increase Capital Efficiency by Product Design
Reducing Surrender Incentives Through Fee Structure in Variable Annuities
A Variational Approach for Mean-Variance-Optimal Deterministic Consumption and Investment
Risk Control in Asset Management: Motives and Concepts
Worst-Case Scenario Portfolio Optimization Given the Probability of a Crash
Improving Optimal Terminal Value Replicating Portfolios
Part IV Computational Methods for Risk Management
Risk and Computation
Extreme Value Importance Sampling for Rare Event Risk Measurement
A Note on the Numerical Evaluation of the Hartman?Watson Density and Distribution Function
Computation of Copulas by Fourier Methods
Part V Dependence Modelling
Goodness-of-fit Tests for Archimedean Copulas in High Dimensions
Duality in Risk Aggregation
Some Consequences of the Markov Kernel Perspective of Copulas
Copula Representations for Invariant Dependence Functions
Nonparametric Copula Density Estimation Using a Petrov?Galerkin Projection.