Ornstein-Uhlenbeck process
One-factor rates models sit behind most XVA calculations
Risk Benchmarking: Dealers coalesce around calibration depth, but runtimes and lookbacks vary sharply
Optimal turnover, liquidity and autocorrelation
A novel optimal execution approach via continuous-time stochastic processes is introduced
A closed-form solution for optimal mean-reverting strategies
The heat potentials method is used to find the optimal profit-taking and stop-loss levels
ADOL: Markovian approximation of a rough lognormal model
A variation of the rough volatility model is introduced by plugging in a different stochastic process
A three-factor model on the natural gas forward curve including temperature forecasts
This paper introduces a three-factor model that jointly describes both natural gas forward prices and temperature forecast dynamics.
The beta stochastic volatility model
The beta stochastic volatility model