Technical paper
Backward induction for future values
A new framework for derivatives pricing with valuation adjustments
Expanding the benchmarked equity portfolio management paradigm
Hamza Bahaji, Stephanie Ridon and Emmanuel Bourdeix propose a tracking error driven allocation approach applicable to a broad equity universe
Robust valuation and hedging of tolling agreements and physical assets
Flexible, martingale duality-based method provides reliable valuation
KVA: capital valuation adjustment by replication
KVA are introduced to take into account the effect of capital on funding
Back-testing expected shortfall
Three easy-to-implement methods for back-testing expected shortfall
Commodity leveraged ETFs: Tracking errors, volatility decay and trading strategies
Tracking performance of ETFs is examined, with a focus on volatility decay
Quant ideas: Liquidity in commodity risk management
Liquidity plays a vastly underappreciated role in commodity markets
Cutting edge intro: Righting wrong-way risk
Models that describe wrong-way risk should move away from simplistic copula models, critics say.
Heston model: shifting on the volatility surface
Stochastic volatility model combining Heston vol model and CIR++
Path-consistent wrong-way risk
A copula-based model for wrong way risk