Technical paper
Warehousing credit risk: pricing, capital and tax
Kenyon and Green model the effects to pricing of credit warehousing, capital and tax
FVA accounting, risk management and collateral trading
Albanese, Andersen and Iabichino present a method for accounting and risk managing FVAs
Cutting edge: Kriging smooth energy futures curves
Applying kriging to extract smooth curves from energy futures prices
Pricing and hedging variance swaps on a swap rate
A pricing tool for fixed-income volatility products is introduced