Technical paper
Backward induction for future values
A new framework for derivatives pricing with valuation adjustments
Expanding the benchmarked equity portfolio management paradigm
Hamza Bahaji, Stephanie Ridon and Emmanuel Bourdeix propose a tracking error driven allocation approach applicable to a broad equity universe
Robust valuation and hedging of tolling agreements and physical assets
Flexible, martingale duality-based method provides reliable valuation
KVA: capital valuation adjustment by replication
KVA are introduced to take into account the effect of capital on funding