Banking
Why CDOs work
Collateralised debt obligations have largely gone under the radar since the 2007 financial meltdown, when their market collapsed. Nearly every attempt at explaining the cause of their failure pointed towards flawed assumptions in pricing models and…
Smile transformation for price prediction
Prediction of arbitrage-free option prices that outperform existing models
Regulatory-optimal funding
A treasury viewpoint on the funding optimization problem
Options for collateral options
Options for collateral options
The simple link from default to LGD
The simple link from default to LGD
Local correlation families
Local correlation families
SABR symmetry
SABR symmetry
Differential rates, differential prices
Differential rates, differential prices
Funding strategies, funding costs
Funding strategies, funding costs
Time for a timer
Time for a timer
Systematic risk factors redefined
Systematic risk factors redefined
Stuck with collateral
Stuck with collateral
Pricing CDSs’ capital relief
Pricing CDSs’ capital relief
Hedge backtesting for model validation
Hedge backtesting for model validation
Exposure under systemic impact
Exposure under systemic impact
Fast gammas for Bermudan swaptions
Fast gammas for Bermudan swaptions
Hybrid smiles made fast
Hybrid smiles made fast
SABR spreads its wings
SABR spreads its wings
A quadratic volatility Cheyette model
A quadratic volatility Cheyette model
Lois: credit and liquidity
Lois: credit and liquidity
Collateral convexity complexity
Collateral convexity complexity
LPI swaps with a smile
LPI swaps with a smile
CDSs, CVA and DVA – a structural approach
CDSs, CVA and DVA – a structural approach
Breaking break clauses
Breaking break clauses