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A brief history of quantitative finance
Risk. net, London, UK |
References:
[1] |
Acerbi, C., Székely, B.:Back-testing expected shortfall. (2014). Risk December, www.risk.net/2381658, |
[2] |
Albanese, C., Andersen, L., Iabichino, S.:FVA accounting, risk management and collateral trading. (2015).Risk February, www.risk.net/2392762, |
[3] |
Albanese, C., Caenazzo, S., Crépey, S.:Capital and funding. (2016). Risk May, www.risk.net/2456382, |
[4] |
Antonov, A., Konikov, M., Spector, M.:The free boundary SABR:natural extension to negative rates.(2015). Risk September, www.risk.net/2423287, |
[5] |
Bachelier, L.:Théorie de la spéculation. Ann. Sci. l'École Norm. Supér. 3(17), 21-86 (1900), |
[6] |
Barker, R., Dickinson, A., Lipton, A., Virmani, R.:Systemic risk in CCP networks. (2017). Risk January, www.risk.net/2479766, |
[7] |
Becker L.:BAML takes $497m FVA loss. Risk January www.risk.net/2390522 (2015a)., |
[8] |
Becker, L.:Morgan Stanley takes $468m FVA loss. Risk January, www.risk.net/2391661 (2015b), |
[9] |
Bergomi, L.:Smile dynamics. (2004). Risk September, www.risk.net/1530377, |
[10] |
Bergomi, L.:Smile dynamics II. (2005). Risk October, www.risk.net/1500225, |
[11] |
Bergomi, L.:Smile dynamics III. (2008). Risk October, www.risk.net/1500216, |
[12] |
Bergomi, L.:Smile dynamics IV. (2009). Risk December, www.risk.net/1564129, |
[13] |
Bianchetti, M.:Two curves, one price. (2010). Risk August, www.risk.net/1724866, |
[14] |
Black, F., Scholes, M.:The pricing of options and corporate liabilities. J Pol Econ 81(3), 637-654 (1973), |
[15] |
Bollerslev, T.:Generalized autoregressive conditional heteroscedasticity. J Econ 31, 307-327 (1986), |
[16] |
Borovkova, S., El Mouttalibi, H.L.:Systemic risk and centralized clearing of OTC derivative:a network approach. (2013). Preprint, SSRN id 2334251, |
[17] |
Brigo, D., Capponi, A.:Bilateral counterparty risk with application to CDSs. (2010). Risk March, www.risk.net/1594872, |
[18] |
Burgard, C., Kjaer, M.:Funding strategies, funding costs. (2013). Risk December, www.risk.net/2310207, |
[19] |
Burgard, C., Kjaer, M.:Derivatives funding, netting and accounting. (2017). Risk March, www.risk.net/3964311, |
[20] |
Burgard, C and M Kjaer.:Partial differential equation representations of derivatives with bilateral counterparty risk and funding costs. J. Credit. Risk (2011a) September, www.risk.net/2160718, |
[21] |
Burgard, C., Kjaer, M.:In the balance. (2011b). Risk November, www.risk.net/2119547, |
[22] |
Cameron, M.:JP Morgan takes $1.5 billion FVA loss. Risk January, www.risk.net/2322843 (2014), |
[23] |
Capriotti L., Giles M.:Fast correlation Greeks by adjoint algorithmic differentiation. (2010). Risk April, www.risk.net/1598655, |
[24] |
Capriotti, L., Lee, J., Peacock, M.:Real-time counterparty credit risk management in Monte Carlo. (2011).Risk June, www.risk.net/2073092, |
[25] |
Carver, L.:Show me the money:banks explore DVA hedging. (2012). Risk March, www.risk.net/2155175, |
[26] |
Cont, R., Wagalath, L.:Risk management for whales. (2016). Risk May, www.risk.net/2459496, |
[27] |
Crépey, S., Douady, R.:Lois:credit and liquidity. (2013). Risk June, www.risk.net/2269615, |
[28] |
Day, S, Degree of influence.:Capital matters. Risk December, www.risk.net/2478608 (2016), |
[29] |
Duffie, D., Zhu, H.:Does a central clearing counterparty reduce counterparty risk? Rev. Asset Pricing Stud. 1(1), 74-95 (2011), |
[30] |
Dupire, B.:Pricing with a smile. Risk January. 18-20 (1994), |
[31] |
Engle, R.:Autoregressive conditional heteroscedasticity with estimates of the variance of United Kingdom inflation. Econometrica 50(4), 987-1008 (1982), |
[32] |
Fissler, T., Ziegel, J., Gneiting, T.:Expected shortfall is jointly elicitable with value-at-risk:implications for backtesting. (2016). Risk January, www.risk.net/2439862, |
[33] |
Fujii M., Takahashi a. Choice of collateral currency. (2011). Risk January, www.risk.net/1935412, |
[34] |
Giles, M., Glasserman, P.:Smoking adjoints:fast Monte Carlo Greeks. (2006). Risk January, www.risk.net/1500261, |
[35] |
Green, A.:XVA:Credit Funding and Capital Valuation Adjustments. Wiley (2016), |
[36] |
Green, A., Kenyon, C.:MVA by replication and regression. (2015). Risk April, www.risk.net/2405264, |
[37] |
Gregory, J.:Being two-faced over counterparty credit risk. (2009). Risk February, www.risk.net/1500212, |
[38] |
Hagan P., Kumar D., Lesniewski A., Woodward D.:Managing smile risk. (2002). Wilmott magazine, September, 84-108, |
[39] |
Heston, S.:A closed form solution for options with stochastic volatility with applications to bond and currency options. Rev. Financ. Stud. 6327-343 (1993), |
[40] |
Hull, J., White, A.:The FVA debate continues:Hull and White respond to their critics. (2012a). Risk, October 2012, www.risk.net/2213407, |
[41] |
Hull, J., White, A.:The FVA debate. (2012b). Risk August, www.risk.net/2188684, |
[42] |
Langnau, A.:A dynamic model for correlation. (2010). Risk March, www.risk.net/1598652, |
[43] |
Laughton, S., Vaisbrot, A.:In defence of FVA. (2012). Risk September, www.risk.net/2202189, |
[44] |
Mercurio, F.:A Libor market model with a stochastic basis. (2010). Risk December, www.risk.net/1929219, |
[45] |
Mercurio, F and Z Xie,:The basis goes stochastic. (2012). Risk December, www.risk.net/2229765, |
[46] |
Merton, R.:On the pricing of corporate debt:the risk structure of interest rates. J. Financ. 29(2), 449-470 (1974), |
[47] |
Osborn, T.:Three months left:dealers fret over slow start to Simm tests. (2016). Risk June, www.risk.net/2460596, |
[48] |
Rennison, J.:Citi takes $474 million FVA charge. (2014) Risk October, www.risk.net/2375798., |
[49] |
Rheinlaender, R.:Pricing and hedging variance swaps on a swap rate. (2015). Risk January, www.risk.net/2388868, |
[50] |
Sherif, N.:AAD vs GPUs:banks turn to maths trick as chips lose appeal. (2015). Risk January, www.risk.net/2389945, |
[51] |
Thiele TN.:Om Anvendelse af mindste Kvadraters Methode i nogle Tilfælde, hvor en Komplikation af visse Slags uensartede tilfældige Fejlkilder giver Fejlene en ‘systematisk’ Karakter. Det Kongelige Danske Videnskabernes Selskabs Skrifter-Naturvidenskabelig og Mathematisk Afdeling. 381-408(1880), |
[52] |
Vladimir P.:Funding beyond discounting:collateral agreements and derivatives pricing. (2010), Risk February, www.risk.net/1589992, |
[53] |
Zetocha, V.:Correlation skew via stochastic correlation and jumps. (2015). Risk December, www.risk.net/2437508, |
show all references
References:
[1] |
Acerbi, C., Székely, B.:Back-testing expected shortfall. (2014). Risk December, www.risk.net/2381658, |
[2] |
Albanese, C., Andersen, L., Iabichino, S.:FVA accounting, risk management and collateral trading. (2015).Risk February, www.risk.net/2392762, |
[3] |
Albanese, C., Caenazzo, S., Crépey, S.:Capital and funding. (2016). Risk May, www.risk.net/2456382, |
[4] |
Antonov, A., Konikov, M., Spector, M.:The free boundary SABR:natural extension to negative rates.(2015). Risk September, www.risk.net/2423287, |
[5] |
Bachelier, L.:Théorie de la spéculation. Ann. Sci. l'École Norm. Supér. 3(17), 21-86 (1900), |
[6] |
Barker, R., Dickinson, A., Lipton, A., Virmani, R.:Systemic risk in CCP networks. (2017). Risk January, www.risk.net/2479766, |
[7] |
Becker L.:BAML takes $497m FVA loss. Risk January www.risk.net/2390522 (2015a)., |
[8] |
Becker, L.:Morgan Stanley takes $468m FVA loss. Risk January, www.risk.net/2391661 (2015b), |
[9] |
Bergomi, L.:Smile dynamics. (2004). Risk September, www.risk.net/1530377, |
[10] |
Bergomi, L.:Smile dynamics II. (2005). Risk October, www.risk.net/1500225, |
[11] |
Bergomi, L.:Smile dynamics III. (2008). Risk October, www.risk.net/1500216, |
[12] |
Bergomi, L.:Smile dynamics IV. (2009). Risk December, www.risk.net/1564129, |
[13] |
Bianchetti, M.:Two curves, one price. (2010). Risk August, www.risk.net/1724866, |
[14] |
Black, F., Scholes, M.:The pricing of options and corporate liabilities. J Pol Econ 81(3), 637-654 (1973), |
[15] |
Bollerslev, T.:Generalized autoregressive conditional heteroscedasticity. J Econ 31, 307-327 (1986), |
[16] |
Borovkova, S., El Mouttalibi, H.L.:Systemic risk and centralized clearing of OTC derivative:a network approach. (2013). Preprint, SSRN id 2334251, |
[17] |
Brigo, D., Capponi, A.:Bilateral counterparty risk with application to CDSs. (2010). Risk March, www.risk.net/1594872, |
[18] |
Burgard, C., Kjaer, M.:Funding strategies, funding costs. (2013). Risk December, www.risk.net/2310207, |
[19] |
Burgard, C., Kjaer, M.:Derivatives funding, netting and accounting. (2017). Risk March, www.risk.net/3964311, |
[20] |
Burgard, C and M Kjaer.:Partial differential equation representations of derivatives with bilateral counterparty risk and funding costs. J. Credit. Risk (2011a) September, www.risk.net/2160718, |
[21] |
Burgard, C., Kjaer, M.:In the balance. (2011b). Risk November, www.risk.net/2119547, |
[22] |
Cameron, M.:JP Morgan takes $1.5 billion FVA loss. Risk January, www.risk.net/2322843 (2014), |
[23] |
Capriotti L., Giles M.:Fast correlation Greeks by adjoint algorithmic differentiation. (2010). Risk April, www.risk.net/1598655, |
[24] |
Capriotti, L., Lee, J., Peacock, M.:Real-time counterparty credit risk management in Monte Carlo. (2011).Risk June, www.risk.net/2073092, |
[25] |
Carver, L.:Show me the money:banks explore DVA hedging. (2012). Risk March, www.risk.net/2155175, |
[26] |
Cont, R., Wagalath, L.:Risk management for whales. (2016). Risk May, www.risk.net/2459496, |
[27] |
Crépey, S., Douady, R.:Lois:credit and liquidity. (2013). Risk June, www.risk.net/2269615, |
[28] |
Day, S, Degree of influence.:Capital matters. Risk December, www.risk.net/2478608 (2016), |
[29] |
Duffie, D., Zhu, H.:Does a central clearing counterparty reduce counterparty risk? Rev. Asset Pricing Stud. 1(1), 74-95 (2011), |
[30] |
Dupire, B.:Pricing with a smile. Risk January. 18-20 (1994), |
[31] |
Engle, R.:Autoregressive conditional heteroscedasticity with estimates of the variance of United Kingdom inflation. Econometrica 50(4), 987-1008 (1982), |
[32] |
Fissler, T., Ziegel, J., Gneiting, T.:Expected shortfall is jointly elicitable with value-at-risk:implications for backtesting. (2016). Risk January, www.risk.net/2439862, |
[33] |
Fujii M., Takahashi a. Choice of collateral currency. (2011). Risk January, www.risk.net/1935412, |
[34] |
Giles, M., Glasserman, P.:Smoking adjoints:fast Monte Carlo Greeks. (2006). Risk January, www.risk.net/1500261, |
[35] |
Green, A.:XVA:Credit Funding and Capital Valuation Adjustments. Wiley (2016), |
[36] |
Green, A., Kenyon, C.:MVA by replication and regression. (2015). Risk April, www.risk.net/2405264, |
[37] |
Gregory, J.:Being two-faced over counterparty credit risk. (2009). Risk February, www.risk.net/1500212, |
[38] |
Hagan P., Kumar D., Lesniewski A., Woodward D.:Managing smile risk. (2002). Wilmott magazine, September, 84-108, |
[39] |
Heston, S.:A closed form solution for options with stochastic volatility with applications to bond and currency options. Rev. Financ. Stud. 6327-343 (1993), |
[40] |
Hull, J., White, A.:The FVA debate continues:Hull and White respond to their critics. (2012a). Risk, October 2012, www.risk.net/2213407, |
[41] |
Hull, J., White, A.:The FVA debate. (2012b). Risk August, www.risk.net/2188684, |
[42] |
Langnau, A.:A dynamic model for correlation. (2010). Risk March, www.risk.net/1598652, |
[43] |
Laughton, S., Vaisbrot, A.:In defence of FVA. (2012). Risk September, www.risk.net/2202189, |
[44] |
Mercurio, F.:A Libor market model with a stochastic basis. (2010). Risk December, www.risk.net/1929219, |
[45] |
Mercurio, F and Z Xie,:The basis goes stochastic. (2012). Risk December, www.risk.net/2229765, |
[46] |
Merton, R.:On the pricing of corporate debt:the risk structure of interest rates. J. Financ. 29(2), 449-470 (1974), |
[47] |
Osborn, T.:Three months left:dealers fret over slow start to Simm tests. (2016). Risk June, www.risk.net/2460596, |
[48] |
Rennison, J.:Citi takes $474 million FVA charge. (2014) Risk October, www.risk.net/2375798., |
[49] |
Rheinlaender, R.:Pricing and hedging variance swaps on a swap rate. (2015). Risk January, www.risk.net/2388868, |
[50] |
Sherif, N.:AAD vs GPUs:banks turn to maths trick as chips lose appeal. (2015). Risk January, www.risk.net/2389945, |
[51] |
Thiele TN.:Om Anvendelse af mindste Kvadraters Methode i nogle Tilfælde, hvor en Komplikation af visse Slags uensartede tilfældige Fejlkilder giver Fejlene en ‘systematisk’ Karakter. Det Kongelige Danske Videnskabernes Selskabs Skrifter-Naturvidenskabelig og Mathematisk Afdeling. 381-408(1880), |
[52] |
Vladimir P.:Funding beyond discounting:collateral agreements and derivatives pricing. (2010), Risk February, www.risk.net/1589992, |
[53] |
Zetocha, V.:Correlation skew via stochastic correlation and jumps. (2015). Risk December, www.risk.net/2437508, |
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