Banking
Neural networks unleashed: joint SPX/VIX calibration has never been faster
SPX and VIX options can be jointly calibrated in real time with deep neural networks
The importance of modelling futures dynamics in commodity index derivatives
Index-based and underlying-based pricing methods for commodity derivatives are presented
AI as pricing law
A neural network tailored to financial asset pricing principles is introduced
Skewing the correlation in local and stochastic volatility frameworks via copulas
A copula-based model to capture correlation skew in multi-asset derivatives is presented
Capital-neutral securitisation risk weights
A closed-form formula to allocate capital to the tranches of a securitisation is presented
Multi-factor Gaussian model calibration: swaptions and constant maturity swap options
A novel closed-form method delivers a new way to calibrate interest rate models
Quantum path integrals for default intensity models
A method to price credit derivatives via default intensity approximation is presented
Simulation of Heston made simple
A new way to apply the classic stochastic volatility model is presented
The WWR in the tail: a Monte Carlo framework for CCR stress testing
A methodology to compute stressed exposures based on a Gaussian copula and mixture distributions is introduced
Auto-encoding term-structure models
An arbitrage-free low-dimensionality interest rate model is presented
The relativity of the fractional Gamma Clock
Bank of America quant expands his Gamma Clock model with a fractional Brownian motion
Option market-making and vol arbitrage
The agent’s view is factored in to a realised-vs-implied vol model
Funding arbitrages and optimal funding policy
Stochastic control can be used to manage a bank’s net asset income
Market-making in spot precious metals
A market-making framework is extended to account for metal markets’ liquidity constraints
A comparison of FX fixing methodologies
FX fixing outcomes are mostly driven by length of calculation window
Backtesting correlated quantities
A technique to decorrelate samples and reach higher discriminatory power is presented
CVA sensitivities, hedging and risk
A probabilistic machine learning approach to CVA calculations is proposed
Bridging the gap risk reloaded: modelling wrong-way risk and leverage
A model extends the counterparty risk calculation to include nonlinear and complex portfolios
Weighting for leverage
A credit exposure model for leveraged collateralised counterparties is presented
Rethinking P&L attribution for options
A buy-side perspective on how to decompose the P&L of index options is presented
Volatility shape-shifters: arbitrage-free shaping of implied volatility surfaces
Manipulating implied volatility surfaces using optimal transport theory has several applications