| Working Paper |
File Downloads |
Abstract Views |
| Last month |
3 months |
12 months |
Total |
Last month |
3 months |
12 months |
Total |
| A Stochastic Processes Toolkit for Risk Management |
0 |
0 |
1 |
72 |
1 |
1 |
3 |
184 |
| An analytically tractable time-changed jump-diffusion default intensity model |
0 |
3 |
4 |
45 |
0 |
3 |
5 |
127 |
| An exact formula for default swaptions' pricing in the SSRJD stochastic intensity model |
0 |
0 |
1 |
27 |
0 |
0 |
2 |
114 |
| An exact formula for default swaptions' pricing in the SSRJD stochastic intensity model |
0 |
0 |
0 |
24 |
1 |
1 |
1 |
120 |
| An indifference approach to the cost of capital constraints: KVA and beyond |
0 |
0 |
0 |
7 |
1 |
1 |
1 |
29 |
| An initial approach to Risk Management of Funding Costs |
0 |
1 |
1 |
9 |
1 |
2 |
3 |
17 |
| Arbitrage-free Pricing of Credit Index Options: The no-armageddon pricing measure and the role of correlation after the subprime crisis |
0 |
0 |
2 |
29 |
0 |
0 |
3 |
98 |
| Bilateral counterparty risk valuation for interest-rate products: impact of volatilities and correlations |
0 |
0 |
0 |
145 |
1 |
1 |
4 |
360 |
| Bilateral counterparty risk valuation with stochastic dynamical models and application to Credit Default Swaps |
0 |
0 |
1 |
50 |
0 |
0 |
4 |
213 |
| CCP Cleared or Bilateral CSA Trades with Initial/Variation Margins under credit, funding and wrong-way risks: A Unified Valuation Approach |
0 |
0 |
2 |
22 |
0 |
0 |
3 |
62 |
| CCPs, Central Clearing, CSA, Credit Collateral and Funding Costs Valuation FAQ: Re-hypothecation, CVA, Closeout, Netting, WWR, Gap-Risk, Initial and Variation Margins, Multiple Discount Curves, FVA? |
0 |
0 |
0 |
22 |
0 |
0 |
2 |
89 |
| CoCo Bonds Valuation with Equity- and Credit-Calibrated First Passage Structural Models |
0 |
2 |
3 |
90 |
0 |
3 |
4 |
185 |
| Collateral Margining in Arbitrage-Free Counterparty Valuation Adjustment including Re-Hypotecation and Netting |
0 |
0 |
0 |
42 |
0 |
3 |
3 |
120 |
| Consistent iterated simulation of multi-variate default times: a Markovian indicators characterization |
0 |
0 |
0 |
7 |
0 |
0 |
0 |
26 |
| Consistent single- and multi-step sampling of multivariate arrival times: A characterization of self-chaining copulas |
0 |
0 |
0 |
12 |
0 |
0 |
1 |
59 |
| Constant Maturity Credit Default Swap Pricing with Market Models |
0 |
0 |
0 |
41 |
1 |
3 |
3 |
155 |
| Counterparty Risk FAQ: Credit VaR, PFE, CVA, DVA, Closeout, Netting, Collateral, Re-hypothecation, WWR, Basel, Funding, CCDS and Margin Lending |
0 |
1 |
4 |
867 |
6 |
11 |
30 |
2,647 |
| Counterparty risk valuation for Energy-Commodities swaps: Impact of volatilities and correlation |
0 |
0 |
2 |
55 |
0 |
0 |
3 |
154 |
| Credit Calibration with Structural Models: The Lehman case and Equity Swaps under Counterparty Risk |
1 |
1 |
1 |
54 |
2 |
2 |
10 |
183 |
| Credit Default Swap Calibration and Counterparty Risk Valuation with a Scenario based First Passage Model |
0 |
0 |
1 |
51 |
0 |
0 |
3 |
172 |
| Credit Default Swap Calibration and Equity Swap Valuation under Counterparty Risk with a Tractable Structural Model |
0 |
0 |
0 |
91 |
0 |
0 |
2 |
267 |
| Credit Default Swaps Liquidity modeling: A survey |
0 |
0 |
0 |
214 |
2 |
3 |
6 |
525 |
| Credit Derivatives Pricing with a Smile-Extended Jump Stochastic Intensity Model |
0 |
0 |
1 |
66 |
1 |
1 |
5 |
233 |
| Credit models and the crisis, or: how I learned to stop worrying and love the CDOs |
0 |
0 |
0 |
126 |
1 |
1 |
3 |
253 |
| Dangers of Bilateral Counterparty Risk: the fundamental impact of closeout conventions |
0 |
0 |
0 |
49 |
0 |
0 |
0 |
110 |
| Deep learning interpretability for rough volatility |
0 |
0 |
0 |
0 |
2 |
6 |
6 |
6 |
| Default correlation, cluster dynamics and single names: The GPCL dynamical loss model |
0 |
0 |
0 |
17 |
1 |
1 |
1 |
74 |
| Discrete Time vs Continuous Time Stock-price Dynamics and implications for Option Pricing |
0 |
0 |
0 |
30 |
1 |
1 |
2 |
137 |
| Disentangling wrong-way risk: Pricing credit valuation adjustment via change of measures |
0 |
0 |
0 |
0 |
0 |
0 |
1 |
30 |
| Disentangling wrong-way risk: pricing CVA via change of measures and drift adjustment |
0 |
0 |
0 |
13 |
1 |
1 |
2 |
34 |
| Disentangling wrong-way risk: pricing credit valuation adjustment via change of measures |
0 |
0 |
0 |
0 |
1 |
1 |
5 |
19 |
| Forecasting recovery rates on non-performing loans with machine learning |
0 |
0 |
2 |
31 |
1 |
1 |
5 |
44 |
| Forecasting recovery rates on non-performing loans with machine learning |
0 |
0 |
0 |
0 |
2 |
2 |
4 |
25 |
| Funding Valuation Adjustment: a consistent framework including CVA, DVA, collateral,netting rules and re-hypothecation |
0 |
0 |
0 |
215 |
99 |
101 |
104 |
788 |
| Funding, Collateral and Hedging: uncovering the mechanics and the subtleties of funding valuation adjustments |
0 |
0 |
0 |
25 |
0 |
0 |
1 |
134 |
| Funding, repo and credit inclusive valuation as modified option pricing |
0 |
0 |
0 |
14 |
0 |
1 |
2 |
41 |
| Illustrating a problem in the self-financing condition in two 2010-2011 papers on funding, collateral and discounting |
0 |
0 |
0 |
16 |
1 |
1 |
4 |
84 |
| Impact of Multiple Curve Dynamics in Credit Valuation Adjustments under Collateralization |
0 |
0 |
0 |
6 |
0 |
0 |
1 |
27 |
| Impact of the first to default time on Bilateral CVA |
0 |
0 |
0 |
63 |
0 |
1 |
3 |
164 |
| Inflation securities valuation with macroeconomic-based no-arbitrage dynamics |
0 |
0 |
0 |
41 |
0 |
1 |
4 |
65 |
| Interest-Rate Modelling in Collateralized Markets: Multiple curves, credit-liquidity effects, CCPs |
0 |
0 |
0 |
32 |
1 |
1 |
2 |
74 |
| Interpretability in deep learning for finance: a case study for the Heston model |
0 |
0 |
2 |
38 |
2 |
3 |
9 |
53 |
| Invariance, existence and uniqueness of solutions of nonlinear valuation PDEs and FBSDEs inclusive of credit risk, collateral and funding costs |
0 |
0 |
0 |
12 |
0 |
0 |
1 |
37 |
| Liquidity-adjusted Market Risk Measures with Stochastic Holding Period |
0 |
0 |
0 |
32 |
1 |
2 |
2 |
97 |
| Mechanics of good trade execution in the framework of linear temporary market impact |
0 |
0 |
0 |
0 |
0 |
0 |
0 |
19 |
| Mild to classical solutions for XVA equations under stochastic volatility |
0 |
0 |
0 |
2 |
0 |
0 |
3 |
9 |
| Multi Currency Credit Default Swaps Quanto effects and FX devaluation jumps |
0 |
0 |
1 |
15 |
1 |
1 |
3 |
52 |
| Non-average price impact in order-driven markets |
0 |
0 |
1 |
8 |
0 |
0 |
3 |
16 |
| Nonlinear Valuation under Collateral, Credit Risk and Funding Costs: A Numerical Case Study Extending Black-Scholes |
0 |
0 |
0 |
22 |
1 |
1 |
1 |
65 |
| On the consistency of jump-diffusion dynamics for FX rates under inversion |
0 |
0 |
0 |
3 |
0 |
1 |
3 |
22 |
| On three filtering problems arising in mathematical finance |
0 |
0 |
0 |
29 |
0 |
0 |
0 |
82 |
| Optimal execution comparison across risks and dynamics, with solutions for displaced diffusions |
0 |
0 |
0 |
5 |
0 |
0 |
0 |
23 |
| Optimizing S-shaped utility and implications for risk management |
0 |
1 |
7 |
25 |
1 |
2 |
13 |
40 |
| Option pricing models without probability: a rough paths approach |
0 |
0 |
2 |
23 |
0 |
2 |
6 |
70 |
| Price Impact on Term Structure |
0 |
0 |
0 |
5 |
0 |
1 |
1 |
12 |
| Probability-free models in option pricing: statistically indistinguishable dynamics and historical vs implied volatility |
0 |
0 |
3 |
15 |
0 |
0 |
7 |
43 |
| Restructuring Counterparty Credit Risk |
0 |
0 |
0 |
31 |
1 |
2 |
2 |
122 |
| Restructuring counterparty credit risk |
1 |
1 |
1 |
77 |
5 |
6 |
8 |
164 |
| Risk-neutral valuation under differential funding costs, defaults and collateralization |
0 |
0 |
1 |
14 |
0 |
1 |
4 |
37 |
| SDES with uniform distributions: Peacocks, conic martingales and mean reverting uniform diffusions |
0 |
0 |
0 |
0 |
1 |
2 |
3 |
10 |
| SDEs with Uniform Distributions: Peacocks, Conic Martingales and Mean Reverting Uniform Diffusions |
0 |
0 |
0 |
7 |
2 |
2 |
2 |
37 |
| SDEs with uniform distributions: Peacocks, conic martingales and mean reverting uniform diffusions |
0 |
0 |
0 |
0 |
0 |
0 |
0 |
9 |
| Static vs Adaptive Strategies for Optimal Execution with Signals |
0 |
0 |
0 |
0 |
0 |
0 |
0 |
34 |
| Static vs adapted optimal execution strategies in two benchmark trading models |
0 |
0 |
0 |
7 |
0 |
1 |
2 |
33 |
| The Multivariate Mixture Dynamics Model: Shifted dynamics and correlation skew |
0 |
0 |
0 |
15 |
0 |
0 |
0 |
19 |
| The arbitrage-free Multivariate Mixture Dynamics Model: Consistent single-assets and index volatility smiles |
0 |
0 |
0 |
3 |
0 |
0 |
0 |
35 |
| The general mixture-diffusion SDE and its relationship with an uncertain-volatility option model with volatility-asset decorrelation |
0 |
0 |
1 |
13 |
0 |
0 |
6 |
81 |
| The importance of dynamic risk constraints for limited liability operators |
0 |
0 |
0 |
6 |
0 |
0 |
1 |
17 |
| The ineffectiveness of coherent risk measures |
0 |
0 |
0 |
14 |
1 |
1 |
2 |
39 |
| Total Working Papers |
2 |
10 |
45 |
3,141 |
144 |
183 |
333 |
9,525 |
| Journal Article |
File Downloads |
Abstract Views |
| Last month |
3 months |
12 months |
Total |
Last month |
3 months |
12 months |
Total |
| A NOTE ON THE SELF-FINANCING CONDITION FOR FUNDING, COLLATERAL AND DISCOUNTING |
0 |
0 |
0 |
18 |
0 |
1 |
2 |
59 |
| A deterministic-shift extension of analytically-tractable and time-homogeneous short-rate models |
0 |
2 |
5 |
712 |
3 |
6 |
22 |
2,118 |
| A dynamic programming approach for pricing CDS and CDS options |
0 |
0 |
0 |
50 |
0 |
0 |
1 |
178 |
| A stochastic processes toolkit for risk management: Geometric Brownian motion, jumps, GARCH and variance gamma models |
0 |
0 |
4 |
9 |
1 |
1 |
17 |
30 |
| A stochastic processes toolkit for risk management: Mean reverting processes and jumps |
0 |
1 |
1 |
1 |
0 |
1 |
1 |
1 |
| ARBITRAGE-FREE BILATERAL COUNTERPARTY RISK VALUATION UNDER COLLATERALIZATION AND APPLICATION TO CREDIT DEFAULT SWAPS |
0 |
0 |
3 |
31 |
0 |
0 |
8 |
92 |
| ARBITRAGE-FREE VALUATION OF BILATERAL COUNTERPARTY RISK FOR INTEREST-RATE PRODUCTS: IMPACT OF VOLATILITIES AND CORRELATIONS |
0 |
0 |
0 |
3 |
1 |
2 |
4 |
27 |
| Alternative asset-price dynamics and volatility smile |
0 |
1 |
5 |
27 |
0 |
2 |
14 |
92 |
| Analytical pricing of the smile in a forward LIBOR market model |
0 |
0 |
3 |
18 |
2 |
2 |
6 |
54 |
| CLUSTER-BASED EXTENSION OF THE GENERALIZED POISSON LOSS DYNAMICS AND CONSISTENCY WITH SINGLE NAMES |
0 |
0 |
1 |
4 |
0 |
1 |
3 |
15 |
| COCO BONDS PRICING WITH CREDIT AND EQUITY CALIBRATED FIRST-PASSAGE FIRM VALUE MODELS |
0 |
1 |
1 |
28 |
1 |
3 |
3 |
69 |
| COUNTERPARTY RISK FOR CREDIT DEFAULT SWAPS: IMPACT OF SPREAD VOLATILITY AND DEFAULT CORRELATION |
0 |
0 |
0 |
9 |
0 |
0 |
1 |
44 |
| COUNTERPARTY RISK PRICING: IMPACT OF CLOSEOUT AND FIRST-TO-DEFAULT TIMES |
0 |
0 |
0 |
9 |
0 |
0 |
1 |
27 |
| Coherent risk measures alone are ineffective in constraining portfolio losses |
0 |
0 |
0 |
2 |
0 |
0 |
3 |
11 |
| Credit default swap calibration and derivatives pricing with the SSRD stochastic intensity model |
1 |
1 |
2 |
136 |
1 |
2 |
5 |
456 |
| Credit models and the crisis: An overview |
0 |
1 |
1 |
2 |
0 |
2 |
2 |
4 |
| Disentangling wrong-way risk: pricing credit valuation adjustment via change of measures |
0 |
0 |
2 |
15 |
1 |
2 |
5 |
69 |
| Efficient pricing of default risk: Different approaches for a single goal |
0 |
0 |
0 |
0 |
3 |
5 |
5 |
109 |
| Forecasting recovery rates on non-performing loans with machine learning |
1 |
1 |
8 |
27 |
2 |
4 |
22 |
132 |
| Guest Editorial |
0 |
0 |
0 |
0 |
0 |
0 |
0 |
0 |
| Impact of Robotics, RPA and AI on the insurance industry: challenges and opportunities |
0 |
0 |
0 |
0 |
1 |
2 |
27 |
433 |
| Impact of multiple curve dynamics in credit valuation adjustments under collateralization |
0 |
0 |
0 |
6 |
0 |
0 |
3 |
21 |
| LOGNORMAL-MIXTURE DYNAMICS AND CALIBRATION TO MARKET VOLATILITY SMILES |
0 |
0 |
8 |
34 |
1 |
1 |
19 |
105 |
| MULTI-CURRENCY CREDIT DEFAULT SWAPS |
0 |
0 |
0 |
7 |
2 |
3 |
23 |
89 |
| Markov multi-variate survival indicators for default simulation as a new characterization of the Marshall–Olkin law |
0 |
0 |
1 |
3 |
0 |
0 |
1 |
20 |
| Mechanics of good trade execution in the framework of linear temporary market impact |
0 |
0 |
0 |
0 |
0 |
0 |
13 |
22 |
| Nonlinear Valuation with XVAs: Two Converging Approaches |
0 |
0 |
0 |
3 |
0 |
0 |
3 |
10 |
| Nonlinear consistent valuation of CCP cleared or CSA bilateral trades with initial margins under credit, funding and wrong-way risks |
0 |
0 |
2 |
31 |
1 |
1 |
6 |
85 |
| Nonlinear valuation under credit, funding, and margins: Existence, uniqueness, invariance, and disentanglement |
0 |
1 |
3 |
24 |
1 |
3 |
7 |
63 |
| On SDEs with marginal laws evolving in finite-dimensional exponential families |
0 |
0 |
0 |
16 |
0 |
0 |
1 |
58 |
| On some filtering problems arising in mathematical finance |
0 |
1 |
1 |
83 |
0 |
1 |
1 |
179 |
| On the consistency of jump-diffusion dynamics for FX rates under inversion |
0 |
0 |
0 |
1 |
0 |
1 |
4 |
12 |
| On the design of sovereign bond-backed securities |
0 |
0 |
0 |
0 |
0 |
3 |
3 |
5 |
| On the distributional distance between the lognormal LIBOR and swap market models |
0 |
0 |
0 |
59 |
1 |
1 |
1 |
195 |
| Optimal trade execution under displaced diffusions dynamics across different risk criteria |
0 |
0 |
0 |
3 |
0 |
1 |
6 |
22 |
| Optimal trading: The importance of being adaptive |
0 |
0 |
0 |
2 |
1 |
5 |
7 |
17 |
| Option pricing impact of alternative continuous-time dynamics for discretely-observed stock prices |
0 |
0 |
0 |
128 |
0 |
1 |
3 |
775 |
| Option pricing models without probability: a rough paths approach |
0 |
0 |
2 |
2 |
0 |
0 |
4 |
12 |
| PRICING COUNTERPARTY RISK INCLUDING COLLATERALIZATION, NETTING RULES, RE-HYPOTHECATION AND WRONG-WAY RISK |
0 |
0 |
3 |
15 |
3 |
6 |
11 |
51 |
| Price Impact Without Averaging |
0 |
1 |
3 |
3 |
1 |
2 |
8 |
8 |
| Price impact on term structure |
0 |
0 |
0 |
0 |
0 |
1 |
2 |
3 |
| RESTRUCTURING COUNTERPARTY CREDIT RISK |
0 |
0 |
0 |
3 |
0 |
0 |
2 |
44 |
| Risk managing tail-risk seekers: VaR and expected shortfall vs S-shaped utility |
1 |
3 |
4 |
29 |
2 |
5 |
10 |
105 |
| Risk-neutral versus objective loss distribution and CDO tranche valuation |
0 |
0 |
0 |
0 |
0 |
0 |
2 |
2 |
| SDEs with uniform distributions: Peacocks, conic martingales and mean reverting uniform diffusions |
1 |
1 |
1 |
4 |
1 |
2 |
4 |
12 |
| THE STOCHASTIC INTENSITY SSRD MODEL IMPLIED VOLATILITY PATTERNS FOR CREDIT DEFAULT SWAP OPTIONS AND THE IMPACT OF CORRELATION |
0 |
0 |
1 |
6 |
0 |
0 |
4 |
20 |
| The LIBOR model dynamics: Approximations, calibration and diagnostics |
0 |
0 |
0 |
166 |
0 |
0 |
0 |
265 |
| The importance of dynamic risk constraints for limited liability operators |
0 |
0 |
0 |
0 |
2 |
2 |
4 |
4 |
| The multivariate mixture dynamics model: shifted dynamics and correlation skew |
0 |
0 |
1 |
2 |
3 |
3 |
7 |
19 |
| The multivariate mixture dynamics: Consistent no-arbitrage single-asset and index volatility smiles |
0 |
2 |
2 |
4 |
1 |
4 |
6 |
16 |
| Total Journal Articles |
4 |
17 |
68 |
1,735 |
36 |
82 |
317 |
6,259 |
LogEc is hosted by the
Örebro University School of Business.