The efficient application of automatic differentiation for computing gradients in financial applications
Automatic differentiation is the theme of this paper. The authors show that many functions in calibration and inverse problems, exhibit a natural substitution structure. A significant speedup is achieved compared with common reverse-mode AD.
The papers in this issue cover a diverse range of applications and numerical techniques.
Reghai, Kettani and Messaoud present new technique to calculate CVA using adjoints
Adaptive importance sampling techniques are widely known for the Gaussian setting of Brownian-driven diffusions. In this paper, the authors extend them to jump processes.
Vladimir Piterbarg considers a non-linear partial differentiation equation that appears in a number of XVA-related contexts, including a one-way credit-support annex, credit value adjustment with risky closeout, option pricing with differential borrowing...
The issue features three papers covering topics related to financial stability, group lending and financial markets stress.
This paper compares two methods of estimating LGD: a beta regression model and a multinomial logit (MNL) model.
Network-based measures as leading indicators of market instability: the case of the Spanish stock market
This paper identifies links between time series data of stock returns for the purpose of understanding the structure of the market and for identifying early-warning signals of forthcoming market stress.
Quants develop a hassle-free model that can handle negative interest rates
Risk survey shows new add-on is gaining acceptance and could reshape the swaps business
The papers published in this special issue investigate a variety of theoretical and empirical issues regarding risk sharing in Islamic finance.
This paper studies the possibility of using Islamic forwards, which are commonly known as salam contracts, to hedge commodity risk, while respecting the principle of risk sharing.
This paper develops a new financial product that allows the profit-and-loss sharing (PLS) principle to be enforced recursively in practice.
Time constraints can be binding for ‘heavy’ Monte Carlo calculations of risk analytics – value-at-risk, potential future exposure, credit valuation adjustment – in intraday risk monitoring, so fast approximations are sometimes preferred. Vladislav...
Quantization is applied to price vanilla and barrier options
Harvey Stein combines risk-neutral and real-world measures into risk methodology
Quants find way to streamline future value calculations for exotic