| Working Paper |
File Downloads |
Abstract Views |
| Last month |
3 months |
12 months |
Total |
Last month |
3 months |
12 months |
Total |
| A backward Monte Carlo approach to exotic option pricing |
0 |
0 |
0 |
25 |
0 |
0 |
3 |
37 |
| A general framework for a joint calibration of VIX and VXX options |
0 |
0 |
0 |
11 |
1 |
3 |
6 |
44 |
| An indifference approach to the cost of capital constraints: KVA and beyond |
0 |
0 |
0 |
7 |
0 |
0 |
3 |
31 |
| Bilateral counterparty risk valuation for interest-rate products: impact of volatilities and correlations |
0 |
1 |
1 |
146 |
1 |
4 |
5 |
364 |
| CCP Cleared or Bilateral CSA Trades with Initial/Variation Margins under credit, funding and wrong-way risks: A Unified Valuation Approach |
0 |
0 |
0 |
22 |
2 |
3 |
4 |
66 |
| 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 |
73 |
167 |
256 |
345 |
| Chebyshev Greeks: Smoothing Gamma without Bias |
0 |
0 |
2 |
8 |
0 |
3 |
7 |
26 |
| Collateral Margining in Arbitrage-Free Counterparty Valuation Adjustment including Re-Hypotecation and Netting |
0 |
0 |
0 |
42 |
0 |
0 |
5 |
122 |
| Credit models and the crisis, or: how I learned to stop worrying and love the CDOs |
0 |
1 |
1 |
127 |
0 |
3 |
5 |
257 |
| Default correlation, cluster dynamics and single names: The GPCL dynamical loss model |
0 |
0 |
0 |
17 |
1 |
2 |
4 |
77 |
| Evaluating Microscopic and Macroscopic Models for Derivative Contracts on Commodity Indices |
0 |
0 |
0 |
2 |
1 |
2 |
6 |
9 |
| FX Modelling in Collateralized Markets: foreign measures, basis curves, and pricing formulae |
0 |
1 |
1 |
14 |
1 |
9 |
13 |
60 |
| Funding Adjustments in Equity Linear Products |
0 |
0 |
0 |
5 |
0 |
0 |
1 |
21 |
| Funding Valuation Adjustment: a consistent framework including CVA, DVA, collateral,netting rules and re-hypothecation |
0 |
1 |
2 |
217 |
4 |
24 |
429 |
1,116 |
| Funding, Collateral and Hedging: uncovering the mechanics and the subtleties of funding valuation adjustments |
0 |
1 |
3 |
28 |
0 |
1 |
6 |
140 |
| Illustrating a problem in the self-financing condition in two 2010-2011 papers on funding, collateral and discounting |
0 |
0 |
0 |
16 |
2 |
3 |
7 |
90 |
| Impact of Multiple Curve Dynamics in Credit Valuation Adjustments under Collateralization |
0 |
0 |
0 |
6 |
2 |
2 |
2 |
29 |
| Interest-Rate Modeling with Multiple Yield Curves |
0 |
1 |
3 |
106 |
3 |
6 |
8 |
239 |
| Interest-Rate Modelling in Collateralized Markets: Multiple curves, credit-liquidity effects, CCPs |
0 |
0 |
0 |
32 |
1 |
2 |
3 |
76 |
| Interpolating commodity futures prices with Kriging |
0 |
0 |
0 |
2 |
0 |
10 |
13 |
26 |
| Interpretability in deep learning for finance: a case study for the Heston model |
1 |
1 |
1 |
39 |
2 |
7 |
14 |
64 |
| Invariance, existence and uniqueness of solutions of nonlinear valuation PDEs and FBSDEs inclusive of credit risk, collateral and funding costs |
0 |
0 |
0 |
12 |
2 |
2 |
4 |
41 |
| Machine-learning regression methods for American-style path-dependent contracts |
0 |
0 |
0 |
3 |
0 |
0 |
3 |
7 |
| Machine-learning regression methods for American-style path-dependent contracts |
0 |
7 |
7 |
7 |
1 |
5 |
5 |
5 |
| Nonlinear Valuation under Collateral, Credit Risk and Funding Costs: A Numerical Case Study Extending Black-Scholes |
0 |
0 |
0 |
22 |
0 |
2 |
4 |
68 |
| On the consistency of jump-diffusion dynamics for FX rates under inversion |
0 |
0 |
0 |
3 |
0 |
0 |
2 |
23 |
| Parsimonious HJM Modelling for Multiple Yield-Curve Dynamics |
0 |
0 |
0 |
46 |
1 |
2 |
3 |
159 |
| Pricing Quanto and Composite Contracts with Local-Correlation Models |
0 |
0 |
1 |
1 |
1 |
1 |
9 |
9 |
| Pricing commodity index options |
0 |
0 |
1 |
8 |
1 |
1 |
3 |
18 |
| Pricing commodity swing options |
0 |
0 |
0 |
23 |
2 |
5 |
7 |
31 |
| Quantization goes Polynomial |
0 |
0 |
0 |
8 |
1 |
1 |
5 |
24 |
| Reinforcement learning for options on target volatility funds |
0 |
0 |
0 |
9 |
0 |
1 |
4 |
18 |
| Risk-neutral valuation under differential funding costs, defaults and collateralization |
0 |
0 |
0 |
14 |
2 |
7 |
8 |
44 |
| Rough volatility: evidence from option prices |
0 |
0 |
0 |
21 |
2 |
4 |
4 |
69 |
| Rough-Heston Local-Volatility Model |
0 |
1 |
1 |
5 |
1 |
5 |
8 |
19 |
| Smile Modelling in Commodity Markets |
0 |
0 |
0 |
13 |
1 |
1 |
6 |
49 |
| Stressing rating criteria allowing for default clustering: the CPDO case |
0 |
1 |
1 |
15 |
0 |
2 |
3 |
78 |
| Total Working Papers |
1 |
16 |
25 |
1,104 |
109 |
290 |
878 |
3,901 |
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