Due to FEA's emphasis on research in derivatives pricing, hedging, and risk management, we develop a fair amount of fundamental technical information and try to share some of this.  Our online library contains published articles and some works in progress.  If you are a current FEA user and have any suggestions on topics relevant to your area of work, please send your ideas to info@fea.com.  

Value at Risk articles

Garman, Mark B. 1997. Taking VAR to Pieces. Risk, 10, (October),
70-71.
http://www.fea.com/fea_cons_ed/pdf/componentvar.pdf

Garman, Mark B. 1996. Improving on VaR. Risk, 9, (May), 61-63.
http://www.fea.com/fea_cons_ed/pdf/risk_delvar.pdf

Garman, Mark B. 1996. Making VaR More Flexible. Derivatives Strategy (April), 52-53. http://www.derivatives.com/archives/1996/0496col1.html

Garman, Mark B. 1997. Ending the Search for Component VaR. Financial Engineering Associates (March).
http://www.fea.com/fea_cons_ed/papers/endsearchvar.htm

Garman, Mark B. 1996. Making VaR Proactive. Working Paper, Financial Engineering Associates (September).
http://www.fea.com/fea_cons_ed/papers/vardelta.htm

Blanco, Carlos and Geoffrey Ihle. 1999. How Good is Your VaR? Using Backtesting to Assess System Performance. Financial Engineering News (August), 1-2.
http://fenews.com/1999/Issue11/089903.html

Blanco, Carlos and Sally Blomstrom. 1999. VaR is as useful as You decide to Make It. Commodities-Now (March).
http://www.commodities-now.com/resource/index.html

Blanco, Carlos and Mark B. Garman. 1998.  Nuevos Avances en la Metodologia de Valor en Riesgo: Conceptos de VeRdelta y VeRbeta (New Advances in Value at Risk: Applications of VaRdelta, VaRbeta, and Component VaR). Analisis Financiero. 1st. Quarter.
http://www.fea.com/fea_cons_ed/pdf/verdelta_es.pdf

Blanco, Carlos. 1998. VaR for Energy Firms. Commodities-Now (December).
http://www.commodities-now.com/resource/index.html
 

Derivatives Pricing and Risk Management

Garman, Mark B. 1998. Managing the Risk of Fixed Assets. (July 4-5) Derivatives Strategy.
http://www.fea.com/fea_cons_ed/pdf/fixed.pdf
 

Garman, Mark B. 1997. Charm School. Risk Publications, v5, (July-August), 52-53.
http://www.fea.com/fea_cons_ed/pdf/charm.pdf

Garman, Mark B. Spread the Load.  Risk Publications, v5, (December), 83-84.
http://www.fea.com/fea_cons_ed/pdf/spreadopt.pdf

Garman, Mark B. and Michael J. Klass.  The Estimation of Security Price Volatility from Newspaper Data.
http://www.fea.com/fea_cons_ed/papers/highlow.htm

Garman, Mark B.  Introduction to the Volatility Immunization of Global Commodity Option Portfolios.
http://www.fea.com/fea_cons_ed/papers/vol-imm.htm
 

Barbieri, Angelo and Mark B.Garman. 1996. Puttting a Price on Swings. Energy and Power Risk Management, v1, (October).
http://www.fea.com/fea_cons_ed/papers/swing_art.htm

Barbieri, Angelo and Mark B.Garman. 1997. Ups and Downs of Swing. Energy and Power Risk Management, v2, (April)
http://www.fea.com/fea_cons_ed/papers/swing_art2.htm

Garman, Mark B. "System and Method for Determination of Incremental Value at Risk for Securities Trading", also known as VaRdelta. Patent issued. [11 Dec 98]. FEA's Value at Risk software, VaRworks and VaRlib, incorporate the VaRdelta technology. You can see the full Patent
http://www.fea.com/fea_cons_ed/vd_patent.pdf