A new framework for derivatives pricing with valuation adjustments
Hamza Bahaji, Stephanie Ridon and Emmanuel Bourdeix propose a tracking error driven allocation approach applicable to a broad equity universe
Flexible, martingale duality-based method provides reliable valuation
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.
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.