Technical paper/Market data
Liquidity stress-testing using optimal portfolio liquidation
A methodology to derive liquidation costs and times in OTC markets is proposed
Deep learning calibration of option pricing models: some pitfalls and solutions
Addressing model calibration and the issue of no-arbitrage in a deep learning approach
A consistent investment strategy
This paper introduces a consistent performance strategy (CPS), which, if followed, leads to a portfolio having consistently positive returns over time and exhibiting a steady upward trend.
Evaluating the credit exposure of interest rate derivatives under the real-world measure
This paper examines the credit exposure evaluation properties of interest rate derivatives to manage counterparty credit risk, working with the real-world probability.
The taming of the skew
Implied volatility
A mixed-up smile
Implied volatility