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
Quants propose easy approximations for modelling wrong-way risk in CVA frameworks
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
The manner in which wind generation can affect the half-hourly APX price is discussed
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
A framework that demonstrates optimal internal pricing will deviate from ‘arm’s length principle'
HSBC quant develops an FVA model that preserves the law of one price
Kenyon and Green show how certain technical elements simplify XVA management