Technical paper/Hull-White model
Quantum path integrals for default intensity models
A method to price credit derivatives via default intensity approximation is presented
Emulating the Standard Initial Margin Model: initial margin forecasting with a stochastic cross-currency basis
The authors propose a stochastic cross-currency basis model extension to resolve the impact of missing risk factors when estimating initial margin and margin valuation adjustments in cross-currency basis swaps.
Dynamic initial margin estimation based on quantiles of Johnson distributions
The authors compare JLSMC DIM estimates with those produced by two other methods, finding that the JLSMC algorithm is accurate and efficient, producing results comparable with nested Monte Carlo with an order of magnitude less computational effort.
Risky caplet pricing with backward-looking rates
The Hull-White model for short rates is extended to include compounded rates and credit risk