KVA are introduced to take into account the effect of capital on funding
Three easy-to-implement methods for back-testing expected shortfall
Tracking performance of ETFs is examined, with a focus on volatility decay
Liquidity plays a vastly underappreciated role in commodity markets
Models that describe wrong-way risk should move away from simplistic copula models, critics say.
Stochastic volatility model combining Heston vol model and CIR++
A copula-based model for wrong way risk
Bloomberg quant Guyon delivers an alternative to stochastic local volatility
The case for targeting core rather than headline inflation for long-term hedgers
The authors investigate the performance of the ordinary least squares (OLS) regression method in Monte Carlo simulation algorithms for pricing American options.
Value function approximation or stopping time approximation: a comparison of two recent numerical methods for American option pricing using simulation and regression
In their 2001 paper, Longstaff and Schwartz suggested a method for American option pricing using simulation and regression, and since then this method has rapidly gained importance.
This paper introduces a technique for pricing and risk measurement of portfolios containing swaption contracts in the presence of counterparty credit risk, under general market model and volatility assumptions.
The authors consider the optimal strategy of research and development (R&D) expenditure adopted by a firm that engages in R&D to develop an innovative product to be launched in the market.
A number of countries are introducing faster settlement of retail payments due to increasing consumer demand.