Burgard and Kjaer method is extended to include margin valuation adjustment
HSBC quant builds funding costs and haircuts into Black-Scholes option pricing formula
The Certificate in Quantitative Finance program provides risk professionals with quant finance tools applicable to their roles, and now offers risk management electives. Join our online info session: 11 June
More Technical papers/Derivatives articles
Wujiang Lou shows the impact of funding costs on option valuation
Albanese, Andersen and Iabichino present a method for accounting and risk managing FVAs
This whitepaper reviews the fundamental changes of Liquidity Risk Management under Basel III. It discusses how institutions can meet the regulatory requirements on liquidity risk management by enhancing their liquidity risk analytics, funds transfer pricing methodologies, liquidity stress testing frameworks, and enterprise risk management platforms.