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.