Technical papers / Risk magazine
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
More Technical papers / Risk magazine articles
Kenyon and Green show how certain technical elements simplify XVA management
Quants at UBS show how to speed up the calculation of sensitivities without tearing up legacy code
Marzio Sala and Vincent Thiery show the derivation of the continuous adjoint problem for PDEs
New stress-testing method offers a break from decades-old traditio
Ardia and Meucci introduce a parametric entropy pooling approach to portfolios stress testing
A scaling methodology to include external data in operational risk calculation is introduced
HSBC quant builds funding costs and haircuts into Black-Scholes option pricing formula
Wujiang Lou shows the impact of funding costs on option valuation
NYU quants use Bayesian techniques to sequence trades, considering trading costs and multiple assets
Kolm and Ritter present a multiperiod, multi-asset selection model with transacion costs, kept computationally tractrable
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