Distributionally Robust XVA via Wasserstein Distance Part 1: Wrong Way...
This paper investigates calculations of robust CVA for OTC derivatives under distributional uncertainty using Wasserstein distance as the ambiguity measure. Wrong way counterparty credit risk can be...
View ArticleUtility-based pricing and hedging of contingent claims in Almgren-Chriss...
In this paper, we construct the utility-based optimal hedging strategy for a European-type option in the Almgren-Chriss model with temporary price impact. The main mathematical challenge of this work...
View ArticleA consistent investment strategy
This paper introduces a consistent performance strategy (CPS), which, if followed, leads to a portfolio having consistently positive returns over time and exhibiting a steady upward trend.
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October Reading
Here's my latest, and final, list of suggested reading:Bellego, C. and L-D. Pape, 2019. Dealing with the log of zero in regression models. CREST Working Paper No. 2019-13.Castle, J. L., J. A. Doornik,...
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What is Fractional Calculus?
“A paradox from which one day useful consequences will be drawn.” ~Gottfried LeibnizContinue reading on Cantorâs Paradise »
View ArticleValuation: A New Approach to an Old Financial Tool
Zane Swanson, an accounting professor at the University of Central Oklahoma, has been at work on a fascinating new approach to the valuation of firms and the valuation of their equity shares. This...
View ArticleHow Should You Discount Your Backtest PnL?
Inâsample overfitting is a drawback of any backtestâbased investment strategy. It is thus of paramount importance to have an understanding of why and how the inâsample overfitting occurs. In...
View ArticleExplicit Pricing of Quadratic Derivatives Under SABR
Many deal types, such as constant maturity swaps, caps, and floors, contain convexity corrections. Valuing these convexity corrections eventually boils down to evaluating quadratic swaps or...
View ArticleNational Football League 2018 Season
Belichick used superior coaching to help New England win the Super Bowl again.
View ArticleSmell the Glove
In which Quantitative Finance introduces Paul Wilmott to Machine Learningâ¦and why not?
View ArticleThe Journey from Data to Intelligence
Examining the promises and challenges that the new era of dataâdriven decision making brings to the financial industry.
View ArticleAAD: Breaking the Primal Barrier
Dmitri Goloubentsev and Evgeny Lakshtanov present a new, speedier approach for AAD.
View ArticleCars
McLaren chops the roof off its 720S Super Series supercar to produce a Spider version in its everburgeoning catalog of exotica.
View ArticleReverse Knockout Pricing Case Study: Stochastic Local Volatility versus...
Two heavyweight vol models punch it out.
View ArticleIn Code We Trust
Financial institutions of all sizes recognize that it is expensive to meet the staffing and infrastructure levels required to efficiently manage data internally
View ArticleThat Old Black Magic
Unexpected emptiness rudely manifested just when you thought you had it all worked out.
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