Youssef Elouerkhaoui shows how the choice of discounting rate is irrelevant for pricing
Lundin and Satchell present a non-linear asymmetric dependance method among two assets
Gatarek, Jabłecki and Qu introduce a Dupire-like formula for swaptions
Jack Baczynski, Jonathan da Silva and Rosalino Junior present an index for measuring hedging errors
Fissler, Ziegel and Gneiting investigate the role of elicitability in backtesting problems and show how comparative backtests can be implemented for expected shortfall
Torresetti and Le Pera explore the relevance of the diversification benefit from a theoretical and practical viewpoint
Valer Zetocha introduces a correlation model based on the Jacobi process with jumps
Lorenzo Ravagli shows how to exploit a risk premium embedded in the vol of vol in out-of-the-money options
Reghai, Kettani and Messaoud present new technique to calculate CVA using adjoints
Meucci, Santangelo and Deguest introduce a risk decomposition method based on minimum-torsion bets
Fabio Mercurio and Minqiang Li investigate CVAs in the presence of wrong-way risk
Alexander Antonov, Bianchetti and Mihai develop a universal and efficient approach to numerical FVA calculation
Two RBC quants propose a way to value CSAs with more than two currency posting options
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...
Vladimir Sankovich and Qinghua Zhu develop a method to value cheapest-to-deliver option embedded in CSAs
Quants develop a hassle-free model that can handle negative interest rates
Jacky Lee and Luca Capriotti present an arbitrage-free valuation method for counterparty exposure of credit derivates portfolios.
Antonov, Konikov and Spector adapt the popular SABR model to a negative rates environment
HSBC quant develops an FVA model that preserves the law of one price
Kenyon and Green show how certain technical elements simplify XVA management
Wujiang Lou calculates CVA and FVA abiding by the law of one price
Quants at UBS show how to speed up the calculation of sensitivities without tearing up legacy code
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...
Marzio Sala and Vincent Thiery show the derivation of the continuous adjoint problem for PDEs