Technical paper/Market data

Investments

Liquidity stress-testing using optimal portfolio liquidation

A methodology to derive liquidation costs and times in OTC markets is proposed

25 Mar 2022

Banking

Deep learning calibration of option pricing models: some pitfalls and solutions

24 Mar 2020

Original research

A consistent investment strategy

07 Oct 2019

Original research

Evaluating the credit exposure of interest rate derivatives under the real-world measure

04 Dec 2018

Infrastructure

The taming of the skew

Implied volatility

01 Nov 2000

Infrastructure

A mixed-up smile

Implied volatility

01 Sep 2000

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