Andrew Dickinson is a senior quantitative analyst at Bank of America focussing on the modelling of central counterparties (CCPs). Prior to his current role he was responsible for FVA modelling at JP Morgan preceded by a number of years working on the pricing of structured interest rate derivatives at Bank of America Merrill Lynch and JP Morgan.
He holds a doctorate in probability theory from the University of Oxford.
Funding and credit risk with locally elliptical portfolio processes: an application to central counterparties
In this paper, the authors extend the scaling approach of Andersen et al (2017a) from a model driven by Brownian motion to one driven by an arbitrary isotropic Lévy process.