Banking
A model for small basket equities financing
A haircut model for equity baskets based on credit and equity indexes is introduced
The carbon equivalence principle: methods for project finance
A method to price the environmental impact of financial products is proposed
Funding, wealth transfer and financial stability in the post-Libor era
Adjusting RFR with a funding premium may aid economic growth and stability
Dealing with multi-currency inventory risk in FX cash markets
A market-making model that considers correlation, transaction costs and market impact is presented
Momentum transformer: an interpretable deep learning trading model
An attention-based deep learning model for trading is presented
CMS pricing: overdue annuities
An RFR-based pricing and risk management model for CMS and its derivatives is presented
Collateralised exposure modelling: bridging the gap risk
Concentration, leverage and correlations may affect a collateralised equity swap portfolio
Pricing in the gap risk of mini-futures
Mini-futures need to be priced and hedged taking sudden jumps into account
Looking beyond SA-CCR
An alternative calculation of exposure at default that handles complex portfolios is presented
Vega decomposition for the LV model: an adjoint differentiation approach
Introducing an algorithm for computing vega sensitivities at all strikes and expiries
Alternatives to deep neural networks in finance
Two methods to approximate complex functions in an explainable way are presented
Interpolating commodity futures prices with Kriging
A futures price’s term structure is built to account for trends and seasonality effects
Deep calibration of rough volatility models
Rough vol models are calibrated and fitted to SPX and Vix smiles
Automatic implicit function theorem
New technique can improve use of adjoint algorithmic differentiation in calibration problems
Data-driven wrong-way risk
A calculation method for regulatory CVA wrong-way risk based on credit and exposure is introduced
Optimal exercise of callable bonds
Citi quants and structurers present a term-structure model for callable bonds' work
Market-making by a foreign exchange dealer
An optimal liquidity model for pricing and hedging decisions is presented
The contractual dividend bleed
Models for dividend protected options need to compensate for valuation mismatches
Swap rate: cash-settled swaptions in the fallback
A fallback pricing method that reduces vanilla swaptions’ complexity is introduced
Semi-analytic conditional expectations
A data-driven approach to computing expectations for the pricing and hedging of exotics
Singular exotic perturbation
A solution based on local volatility and sensitivities is proposed to calculate exotics' prices
The future of skew
Forward start volatility swaps and their pricing and hedging models are introduced
Chebyshev Greeks: smoothing gamma without bias
A numerical method to obtain stable deltas and gammas for complex payoffs is presented
Mind the gap
A default intensity model reveals the risk carried by a highly leveraged counterparty