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John Armstrong
et al. (Nov 6, 2020)

Textual materials

Previous literature shows that prevalent risk measures such as Value at Risk or Expected Shortfall are ineffective to curb excessive risk-taking by a tail-risk-seeking trader with S-shaped utility function in the context of portfolio optimisation. However, these conclusions hold only when the constr...

Federico Graceffa
et al. (May 13, 2019)

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John Armstrong
et al. (Aug 28, 2018)

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We describe the pricing and hedging of financial options without the use of probability using rough paths. By encoding the volatility of assets in an enhancement of the price trajectory, we give a pathwise presentation of the replication of European options. The continuity properties of rough-paths...

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Damiano Brigo
et al. (Feb 27, 2018)

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We develop a unified valuation theory that incorporates credit risk (defaults), collateralization and funding costs, by expanding the replication approach to a generality that has not yet been studied previously and reaching valuation when replication is not assumed. This unifying theoretical framew...

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John Armstrong
et al. (Nov 1, 2017)

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We consider market players with tail-risk-seeking behaviour as exemplified by the S-shaped utility introduced by Kahneman and Tversky. We argue that risk measures such as value at risk (VaR) and expected shortfall (ES) are ineffective in constraining such players. We show that, in many standard mark...

Damiano Brigo
et al. (Aug 17, 2017)

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The strengthening of capital requirements has induced banks and traders to consider charging a so called capital valuation adjustment (KVA) to the clients in OTC transactions. This roughly corresponds to charge the clients ex-ante the profit requirement that is asked to the trading desk. In the foll...

Damiano Brigo
et al. (Sep 18, 2016)

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We consider the optimal solutions to the trade execution problem in the two different classes of i) fully adapted or adaptive and ii) deterministic or static strategies, comparing them. We do this in two different benchmark models. The first model is a discrete time framework with an information flo...

Damiano Brigo
et al. (Feb 18, 2016)

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Damiano Brigo
et al. (Dec 22, 2015)

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Credit Default Swaps (CDS) on a reference entity may be traded in multiple currencies, in that protection upon default may be offered either in the domestic currency where the entity resides, or in a more liquid and global foreign currency. In this situation currency fluctuations clearly introduce a...

Damiano Brigo
et al. (Dec 15, 2015)

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The Multi Variate Mixture Dynamics model is a tractable, dynamical, arbitrage-free multivariate model characterized by transparency on the dependence structure, since closed form formulae for terminal correlations, average correlations and copula function are available. It also allows for complete d...

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Damiano Brigo
et al. (Jun 1, 2015)

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We study conditions for existence, uniqueness and invariance of the comprehensive nonlinear valuation equations first introduced in Pallavicini et al (2011). These equations take the form of semilinear PDEs and Forward-Backward Stochastic Differential Equations (FBSDEs). After summarizing the cash f...

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Damiano Brigo
et al. (Oct 8, 2014)

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In this note we sketch an initial tentative approach to funding costs analysis and management for contracts with bilateral counterparty risk in a simplified setting. We depart from the existing literature by analyzing the issue of funding costs and benefits under the assumption that the associated r...

Gabriele Sarais
et al. (Mar 30, 2014)

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We develop a model to price inflation and interest rates derivatives using continuous-time dynamics that have some links with macroeconomic monetary DSGE models equipped with a Taylor rule: in particular, the reaction function of the central bank, the bond market liquidity, inflation and growth expe...

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Damiano Brigo
et al. (Jan 16, 2014)

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The introduction of CCPs in most derivative transactions will dramatically change the landscape of derivatives pricing, hedging and risk management, and, according to the TABB group, will lead to an overall liquidity impact about 2 USD trillions. In this article we develop for the first time a compr...

Damiano Brigo
et al. (Nov 30, 2013)

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We present a dialogue on Funding Costs and Counterparty Credit Risk modeling, inclusive of collateral, wrong way risk, gap risk and possible Central Clearing implementation through CCPs. This framework is important following the fact that derivatives valuation and risk analysis has moved from exotic...

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Damiano Brigo
et al. (Jun 4, 2013)

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We investigate under which conditions a single simulation of joint default times at a final time horizon can be decomposed into a set of simulations of joint defaults on subsequent adjacent sub-periods leading to that final horizon. Besides the theoretical interest, this is also a practical problem...

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Damiano Brigo
et al. (Apr 10, 2013)

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We solve a version of the optimal trade execution problem when the mid asset price follows a displaced diffusion. Optimal strategies in the adapted class under various risk criteria, namely value-at-risk, expected shortfall and a new criterion called "squared asset expectation" (SAE), related to a v...

Thibaut Montes
(Jun 24, 2020)

Thesis

This thesis is divided into four parts that can be read independently. In this manuscript, we make some contributions to the theoretical study and financial applications of optimal quantization.In the first part, we recall the theoretical foundations of optimal quantization as well as the classical...

Jean-Michel Fayolle
et al. (May 1, 2020)

Preprint

This paper proposes two numerical solution based on Product Optimal Quan-tization for the pricing of Foreign Echange (FX) linked long term Bermudan options e.g. Bermudan Power Reverse Dual Currency options, where we take into account stochastic domestic and foreign interest rates on top of stochasti...

Cyril Bénézet
(Nov 5, 2019)

Thesis

In this thesis, we give some contributions to the theoretical and numerical study to some stochastic optimal control problems, and their applications to financial mathematics and risk management. These applications are related to weak pricing and hedging of financial products and to regulation issue...

Books and book chapters

Cohen Albert
(Jan 1, 2018)

Books and book chapters

A Celebration of the Ties That Bind Us: Connections between Actuarial Science and Mathematical Finance

Christophette Blanchet-Scalliet
(May 20, 2016)

Others

Books and book chapters

Kathrin Glau
et al. (Jan 1, 2016)

Books and book chapters

Quantitative Finance; Banking; Statistics for Business/Economics/Mathematical Finance/Insurance; Mathematical Modelling and Industrial Mathematics; Probability Theory and Stochastic Processes; Financial Engineering

Ernesto Palidda
(May 29, 2015)

Thesis

The first part of this thesis is devoted to the study of an Affine Term Structure Model (ATSM) where we use Wishart-like processes to model the stochastic variance-covariance of interest rates. This work was initially motivated by some thoughts on calibration and model risk in hedging interest rates...

Books and book chapters

Rudi Zagst
et al. (Jan 1, 2015)

Books and book chapters

Quantitative Finance; Game Theory, Economics, Social and Behav. Sciences; Finance/Investment/Banking; Actuarial Sciences

Rama Cont
et al. (Jan 3, 2013)

Articles

We propose a stable non-parametric algorithm for the calibration of pricing models for portfolio credit derivatives: given a set of observations of market spreads for CDO tranches, we construct a risk-neutral default intensity process for the portfolio underlying the CDO which matches these observat...

Bernardo León
et al. (Jun 1, 2011)

Articles

Un indicador de la crisis financiera ha sido el comportamiento de los contratos de seguros contra la cesación de pagos (CDS, por sus siglas en inglés). De esta manera, este artículo en primer lugar, toma el caso de Grecia, Italia y España y sus respectivos índices accionarios. En segundo lugar se an...

Gianluca Cassese
et al. (Oct 19, 2009)

Articles

We analyze the volatility surface vs. moneyness and time to expiration implied by MIBO options written on the MIB30, the most important Italian stock index. We specify and fit a number of models of the implied volatility surface and find that it has a rich and interesting structure that strongly dep...