Banking
Collateralised exposure modelling: bridging the gap risk
Concentration, leverage and correlations may affect a collateralised equity swap portfolio
Pricing in the gap risk of mini-futures
Mini-futures need to be priced and hedged taking sudden jumps into account
Looking beyond SA-CCR
An alternative calculation of exposure at default that handles complex portfolios is presented
Vega decomposition for the LV model: an adjoint differentiation approach
Introducing an algorithm for computing vega sensitivities at all strikes and expiries
Alternatives to deep neural networks in finance
Two methods to approximate complex functions in an explainable way are presented
Interpolating commodity futures prices with Kriging
A futures price’s term structure is built to account for trends and seasonality effects
Deep calibration of rough volatility models
Rough vol models are calibrated and fitted to SPX and Vix smiles
Automatic implicit function theorem
New technique can improve use of adjoint algorithmic differentiation in calibration problems
Data-driven wrong-way risk
A calculation method for regulatory CVA wrong-way risk based on credit and exposure is introduced
Optimal exercise of callable bonds
Citi quants and structurers present a term-structure model for callable bonds' work
Market-making by a foreign exchange dealer
An optimal liquidity model for pricing and hedging decisions is presented
The contractual dividend bleed
Models for dividend protected options need to compensate for valuation mismatches
Swap rate: cash-settled swaptions in the fallback
A fallback pricing method that reduces vanilla swaptions’ complexity is introduced
Semi-analytic conditional expectations
A data-driven approach to computing expectations for the pricing and hedging of exotics
Singular exotic perturbation
A solution based on local volatility and sensitivities is proposed to calculate exotics' prices
The future of skew
Forward start volatility swaps and their pricing and hedging models are introduced
Chebyshev Greeks: smoothing gamma without bias
A numerical method to obtain stable deltas and gammas for complex payoffs is presented
Mind the gap
A default intensity model reveals the risk carried by a highly leveraged counterparty
A new fast local volatility model
A local volatility model based on the Bass construction and alternative to Dupire-style models is introduced
Valuation and risk management of vanilla Libor swaptions in a fallback
A procedure to price vanilla European Libor swaptions derived from the SABR model is presented
Deep hedging: learning to remove the drift
Removing arbitrage opportunities from simulated data used for training makes deep hedging more robust
Sec-lending haircuts and indemnification pricing
A pricing method for borrowed securities that includes haircut and indemnification is introduced
Efficient simulation of affine forward variance models
Andersen's quadratic-exponential scheme is used for simulations of rough volatility models
Dynamically controlled kernel estimation
An accurate data-driven and model-agnostic method to compute conditional expectations is presented