Banking
The importance of modelling futures dynamics in commodity index derivatives
Index-based and underlying-based pricing methods for commodity derivatives are presented
Multi-factor Gaussian model calibration: swaptions and constant maturity swap options
A novel closed-form method delivers a new way to calibrate interest rate models
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
Weighting for leverage
A credit exposure model for leveraged collateralised counterparties is presented
Rethinking P&L attribution for options
A buy-side perspective on how to decompose the P&L of index options is presented
Volatility shape-shifters: arbitrage-free shaping of implied volatility surfaces
Manipulating implied volatility surfaces using optimal transport theory has several applications
Infrequent MtM reduces neither value-at-risk nor backtesting exceptions
Frequency of repricing impacts volatility and correlation measures
SABR convexity adjustment for an arithmetic average RFR swap
A model-independent convexity adjustment for interest rate swaps is introduced
Joint S&P 500/VIX smile calibration in discrete and continuous time
An arbitrage-free model for exotic options that captures smiles and futures is presented
The carbon equivalence principle: minimising the cost to carbon net zero
A method to align incentives with sustainability in financial markets is introduced