Technical paper/Derivatives
DVA for assets
DVA for assets
The basis goes stochastic
The basis goes stochastic
The impossibility of DVA replication
The impossibility of DVA replication
Quadratic Gaussian inflation
Quadratic Gaussian inflation
Applied risk management series: modelling spreads in energy markets
Implications for valuation and risk management of spread options
Model foundations of the Basel III standardised CVA charge
Model foundations of the Basel III standardised CVA charge
Quanto adjustments in the presence of stochastic volatility
Quanto adjustments in the presence of stochastic volatility
Stochastic volatility’s orderly smiles
Stochastic volatility’s orderly smiles
Stress testing with fully flexible causal inputs
Stress testing with fully flexible causal inputs
Constant maturity asset swap convexity correction
Constant maturity asset swap convexity correction
Analytical risk contributions for non-linear portfolios
Analytical risk contributions for non-linear portfolios
Downgrade termination costs
Downgrade termination costs
Hybrid correlation matrices
Hybrid correlation matrices
Analytical risk contributions for non-linear portfolios
Analytical risk contributions for non-linear portfolios
Perturbed Gaussian copula: introducing the skew effect in co-dependence
Perturbed Gaussian copula: introducing the skew effect in co-dependence
Being particular about calibration
Following previous work on the calibration of multi-factor local stochastic volatility models to market smiles, Julien Guyon and Pierre Henry-Labordère show how to calibrate exactly any such model. Their approach, based on McKean’s particle method,…
Funding cost adjustments for derivatives
Funding cost adjustments for derivatives
Cutting Edge introduction: the DVA debate
The DVA debate
In the balance
Christoph Burgard and Mats Kjaer discuss the relationship of the funding cost adjustment to the balance sheet
Spread options, Farkas's lemma and linear programming
Spread options, Farkas's lemma and linear programming
Spread options, Farkas's lemma and linear programming
Spread options, Farkas's lemma and linear programming