Technical paper/Derivatives
Non-parametric local volatility formula for interest rate swaptions
Gatarek, Jabłecki and Qu introduce a Dupire-like formula for swaptions
Hedging error measurement for imperfect strategies
Jack Baczynski, Jonathan da Silva and Rosalino Junior present an index for measuring hedging errors
Collateral option valuation made easy
Vladimir Sankovich and Qinghua Zhu develop a method to value cheapest-to-deliver option embedded in CSAs
Regulatory and supervisory deference in the context of Australia’s over-the-counter derivative trade reporting and derivative trade repositories regimes
This paper provides an Australian regulatory perspective on the over-the-counter landscape and shows how regulatory deference can play a facilitating role in the cross-border context.
Greeks with continuous adjoints: fast to code, fast to run
Marzio Sala and Vincent Thiery show the derivation of the continuous adjoint problem for PDEs
Multiperiod portfolio selection and Bayesian dynamic models
Kolm and Ritter present a multiperiod, multi-asset selection model with transacion costs, kept computationally tractrable
Short-rate joint-measure models
A joint-measure model combining Q-measure and P-measure
Options for collateral options
Options for collateral options
Local correlation families
Local correlation families
SABR symmetry
SABR symmetry
Differential rates, differential prices
Differential rates, differential prices
Funding strategies, funding costs
Funding strategies, funding costs
Systematic risk factors redefined
Systematic risk factors redefined
Stuck with collateral
Stuck with collateral
Hedge backtesting for model validation
Hedge backtesting for model validation
Exposure under systemic impact
Exposure under systemic impact
LPI swaps with a smile
LPI swaps with a smile
Bilateral CVA of optional early termination clauses
Bilateral CVA of optional early termination clauses
Breaking break clauses
Breaking break clauses
DVA for assets
DVA for assets
Robust hedging of withdrawal guarantees
Robust hedging of withdrawal guarantees