Banking
AI as pricing law
A neural network tailored to financial asset pricing principles is introduced
Quantum path integrals for default intensity models
A method to price credit derivatives via default intensity approximation is presented
Simulation of Heston made simple
A new way to apply the classic stochastic volatility model is presented
The WWR in the tail: a Monte Carlo framework for CCR stress testing
A methodology to compute stressed exposures based on a Gaussian copula and mixture distributions is introduced
Auto-encoding term-structure models
An arbitrage-free low-dimensionality interest rate model is presented
The relativity of the fractional Gamma Clock
Bank of America quant expands his Gamma Clock model with a fractional Brownian motion
Option market-making and vol arbitrage
The agent’s view is factored in to a realised-vs-implied vol model
Funding arbitrages and optimal funding policy
Stochastic control can be used to manage a bank’s net asset income
Market-making in spot precious metals
A market-making framework is extended to account for metal markets’ liquidity constraints
A comparison of FX fixing methodologies
FX fixing outcomes are mostly driven by length of calculation window
Backtesting correlated quantities
A technique to decorrelate samples and reach higher discriminatory power is presented
CVA sensitivities, hedging and risk
A probabilistic machine learning approach to CVA calculations is proposed
Bridging the gap risk reloaded: modelling wrong-way risk and leverage
A model extends the counterparty risk calculation to include nonlinear and complex portfolios