Inferring Dealer Networks in the Foreign Exchange Market Using Conditional Transfer Entropy: Analysis of a Central Bank Announcement von Janczewski, Aleksander, Anagnostou, Ioannis, Kandhai, Drona

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A Semi-Static Replication Method for Bermudan Swaptions under an Affine Multi-Factor Model von Hoencamp, Jori, Jain, Shashi, Kandhai, Drona

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Information dissipation as an early-warning signal for the Lehman Brothers collapse in financial time series von Quax, Rick, Kandhai, Drona, Sloot, Peter M. A.

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Incorporating Contagion in Portfolio Credit Risk Models Using Network Theory von Anagnostou, Ioannis, Kandhai, Drona, Sourabh, Sumit

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Risk factor evolution for counterparty credit risk under a hidden Markov model von Anagnostou, Ioannis, Kandhai, Drona

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Coupled lattice-Boltzmann and finite-difference simulation of electroosmosis in microfluidic channels von Hlushkou, Dzmitry, Kandhai, Drona, Tallarek, Ulrich

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Lattice Boltzmann simulation of 2D and 3D non-Brownian suspensions in Couette flow von Kromkamp, Janneke, van den Ende, Dirk, Kandhai, Drona, van der Sman, Ruud, Boom, Remko

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Shear-induced self-diffusion and microstructure in non-Brownian suspensions at non-zero Reynolds numbers von KROMKAMP, JANNEKE, VAN DEN ENDE, DIRK T. M., KANDHAI, DRONA, VAN DER SMAN, RUUD G. M., BOOM, REMKO M.

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Liquidity risk in derivatives valuation: an improved credit proxy method von Sourabh, Sumit, Hofer, Markus, Kandhai, Drona

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KVA, Mind Your P's and Q's von Jain, Shashi, Karlsson, Patrik, Kandhai, Drona

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EFFICIENT COMPUTATION OF EXPOSURE PROFILES FOR COUNTERPARTY CREDIT RISK von DE GRAAF, CORNELIS S. L., FENG, QIAN, KANDHAI, DRONA, OOSTERLEE, CORNELIS W.

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Calibrating the Mean-Reversion Parameter in the Hull-White Model Using Neural Networks von Moysiadis, Georgios, Anagnostou, Ioannis, Kandhai, Drona

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Super Fast Greeks: An Application to Counterparty Valuation Adjustments von Savickas, Vytautas, Hari, Norbert, Wood, Tim, Kandhai, Drona

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A semi-static replication approach to efficient hedging and pricing of callable IR derivatives von Hoencamp, Jori, Jain, Shashi, Kandhai, Drona

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EFFICIENT COMPUTATION OF EXPOSURE PROFILES FOR COUNTERPARTY CREDIT RISK von De Graaf, Cornelis S L, Feng, Qian, Kandhai, Drona, Oosterlee, Cornelis W

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Uncovering the mesoscale structure of the credit default swap market to improve portfolio risk modelling von Anagnostou, Ioannis, Squartini, Tiziano, Kandhai, Drona, Garlaschelli, Diego

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A semi-static replication approach to efficient hedging and pricing of callable IR derivatives von Hoencamp, Jori, Jain, Shashi, Kandhai, Drona

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The Distributed ASCI Supercomputer project von BAL, Henri, BHOEDJANG, Raoul, VELDEMA, Ronald, VERSTOEP, Kees, BAGGIO, Aline, BALLINTIJN, Gerco, KUZ, Ihor, PIERRE, Guillaume, VAN STEEN, Maarten, TANENBAUM, Andy, DOORNBOS, Gerben, GERMANS, Desmond, HOFMAN, Rutger, SPOELDER, Hans, BAERENDS, Evert-Jan, VAN GISBERGEN, Stan, AFSERMANESH, Hamideh, VAN ALBADA, Dick, BELLOUM, Adam, DUBBELDAM, David, HENDRIKSE, Zeger, HERTZBERGER, Bob, HOEKSTRA, Alfons, JACOBS, Ceriel, ISKRA, Kamil, KANDHAI, Drona, KOELMA, Dennis, VAN DER LINDEN, Frank, OVEREINDER, Benno, SLOOT, Peter, SPINNATO, Piero, EPEMA, Dick, VAN GEMUND, Arjan, JONKER, Pieter, KIELMANN, Thilo, RADULESCU, Andrei, VAN REEUWIJK, Cees, SIPS, Henk, KNIJNENBURG, Peter, LEW, Michael, SLUITER, Floris, WOLTERS, Lex, BLOM, Hans, DE LAAT, Cees, VAN DER STEEN, Aad, MAASSEN, Jason, VAN NIEUWPOORT, Rob, ROMEIN, John, RENAMBOT, Luc, RÜHL, Tim

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Efficient exposure computation by risk factor decomposition von de Graaf, Cornelis S. L, Kandhai, Drona, Reisinger, Christoph

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Efficient exposure computation by risk factor decomposition von Cornelis S L de Graaf, Kandhai, Drona, Reisinger, Christoph

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