Technical paper
Cutting edge intro: history in the modelling
Bloomberg quant Guyon delivers an alternative to stochastic local volatility
Swapping from headline to core inflation and commodity hedging
The case for targeting core rather than headline inflation for long-term hedgers
Pricing American-style options by Monte Carlo simulation: alternatives to ordinary least squares
The authors investigate the performance of the ordinary least squares (OLS) regression method in Monte Carlo simulation algorithms for pricing American options.
Counterparty credit risk pricing and measurement of swaption portfolios
This paper introduces a technique for pricing and risk measurement of portfolios containing swaption contracts in the presence of counterparty credit risk, under general market model and volatility assumptions.
Numerical algorithms for research and development stochastic control models
The authors consider the optimal strategy of research and development (R&D) expenditure adopted by a firm that engages in R&D to develop an innovative product to be launched in the market.
Faster payments in Denmark
A number of countries are introducing faster settlement of retail payments due to increasing consumer demand.
Inferring unsecured interbank loans and interest rates from interbank payments: an evaluation
We investigate whether overnight unsecured interbank loans and interest rates can be reliably inferred at the market and bank level from central banks’ interbank payments data.
The stochastic-volatility, jump-diffusion optimal portfolio problem with jumps in returns and volatility
The risk-averse optimal portfolio problem is treated with consumption in continuous time for a stochastic jump-volatility-jump-diffusion (SJVJD) model for both the risky asset and the volatility.