Replication
An end to replication
Convexity adjustments can be valued with an analytical formula, avoiding replication arguments
MVA taking the long road to acceptance
Four years on, the adjustment is still not a standard part of non-cleared swap pricing
The theoretical foundations of XVAs
Bloomberg analyses the theoretical basis of XVAs, focusing on the works and findings of its head of quantitative XVA analytics, Mats Kjaer, who emphasises the role of the capital valuation adjustment as a major driver of derivatives trading profitability…
AERB: developing AIRB PIT–TTC PD models using external ratings
In this paper, the authors show how one can use a certain class of models for modeling portfolios such as large corporates, banks and insurance companies.
Cutting edge: Valuation and optimal hedging of storage contracts in incomplete gas markets
In this paper, Magnus Wobben, Tilman Huhne, Yuri Ivanov and Sebastian Hanneken examine the impact of market incompleteness on the valuation of gas storage contracts. In contrast to prior research, their proposed valuation framework accounts for the…
Monitoring daily hedge fund performance when only monthly data is available
The ability to infer daily performance from less frequently observed returns data can help hedge fund investors understand intra-month gains and losses
The impossibility of DVA replication
The impossibility of DVA replication