Monte Carlo simulation
The rise of KVA: how 10 banks are pricing the capital crunch
Risk survey shows new add-on is gaining acceptance and could reshape the swaps business
Commodity risk hedging through risk sharing: reengineering Islamic forwards
This paper studies the possibility of using Islamic forwards, which are commonly known as salam contracts, to hedge commodity risk, while respecting the principle of risk sharing.
Recursive profit-and-loss sharing
This paper develops a new financial product that allows the profit-and-loss sharing (PLS) principle to be enforced recursively in practice.
American options: time-critical pricing
Time constraints can be binding for ‘heavy’ Monte Carlo calculations of risk analytics – value-at-risk, potential future exposure, credit valuation adjustment – in intraday risk monitoring, so fast approximations are sometimes preferred. Vladislav…
Quantized calibration in local volatility
Quantization is applied to price vanilla and barrier options
Two measures for the price of one
Harvey Stein combines risk-neutral and real-world measures into risk methodology
Cutting edge introduction: The only way is backward
Quants find way to streamline future value calculations for exotic
Backward induction for future values
A new framework for derivatives pricing with valuation adjustments
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.
Risk evaluation of mortgage-loan portfolios in a low interest rate environment
Volume 16, Issue 5 (2014)
SABR symmetry
SABR symmetry