Technical paper
Applied risk management series: Counterparty risk exposure metrics
Carlos Blanco outlines an approach to counterparty risk using potential future exposure
Does skewness matter to the pricing of commodity futures?
Paper designs and tests performance of new strategy in commodity futures
The damped Crank–Nicolson time-marching scheme for the adaptive solution of the Black–Scholes equation
This paper deals with error estimators and mesh adaptation for a space-time finite element discretization of the basic Black-Scholes equation. An interesting modern numerical mathematical technique for a fundamental pricing equation in finance is…
MVA by replication and regression
Burgard and Kjaer method is extended to include margin valuation adjustment
Tail risk premiums versus pure alpha
Tail-risk skewness, rather than volatility, is correlated with risk premiums
Anatomy of a model: Valuation of physical assets
Quant ideas paper dissects layers of valuation models for physical assets
Longevity risk hedging with a population-based index solution
Cedric Fetiveau and Chenye Jia propose a method to measure longevity risk
Cutting edge introduction: Funding holes in Black-Scholes
HSBC quant builds funding costs and haircuts into Black-Scholes option pricing formula
Quantized calibration in local volatility
Quantization is applied to price vanilla and barrier options
Funding in option pricing: the Black-Scholes framework extended
Wujiang Lou shows the impact of funding costs on option valuation