Banking
SABR symmetry
SABR symmetry
Differential rates, differential prices
Differential rates, differential prices
Funding strategies, funding costs
Funding strategies, funding costs
Time for a timer
Time for a timer
Systematic risk factors redefined
Systematic risk factors redefined
Stuck with collateral
Stuck with collateral
Pricing CDSs’ capital relief
Pricing CDSs’ capital relief
Hedge backtesting for model validation
Hedge backtesting for model validation
Exposure under systemic impact
Exposure under systemic impact
Fast gammas for Bermudan swaptions
Fast gammas for Bermudan swaptions
Hybrid smiles made fast
Hybrid smiles made fast
SABR spreads its wings
SABR spreads its wings
A quadratic volatility Cheyette model
A quadratic volatility Cheyette model
Lois: credit and liquidity
Lois: credit and liquidity
Collateral convexity complexity
Collateral convexity complexity
LPI swaps with a smile
LPI swaps with a smile
CDSs, CVA and DVA – a structural approach
CDSs, CVA and DVA – a structural approach
Breaking break clauses
Breaking break clauses
Wrong-way risk, credit and funding
Wrong-way risk, credit and funding
Rational shapes of local volatility
Rational shapes of local volatility
DVA for assets
DVA for assets
Expanded forward volatility
Expanded forward volatility