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Deep Quadratic Hedging
Gnoatto, Alessandro; Lavagnini, Silvia; Picarelli, Athena - 2022
Persistent link: https://www.econbiz.de/10013535748
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Robust calibration of financial models using Bayesian estimators
Gupta, Alok; Reisinger, Christoph - In: The journal of computational finance 17 (2014) 4, pp. 3-36
Persistent link: https://www.econbiz.de/10010387862
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A penny saved is a penny earned : less expensive zero coupon bonds
Gnoatto, Alessandro; Grasselli, Martino; Platen, Eckhard - 2016
Persistent link: https://www.econbiz.de/10011778099
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Calibration to FX triangles of the 4/2 model under the benchmark approach
Gnoatto, Alessandro; Grasselli, Martino; Platen, Eckhard - 2021
Persistent link: https://www.econbiz.de/10013347384
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Calibration to FX triangles of the 4/2 model under the benchmark approach
Gnoatto, Alessandro; Grasselli, Martino; Platen, Eckhard - In: Decisions in economics and finance : a journal of … 45 (2022) 1, pp. 1-34
Persistent link: https://www.econbiz.de/10013380525
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Pricing of Counterparty Risk and Funding With CSA Discounting, Portfolio Effects and Initial Margin
Biagini, Francesca - 2020
In this paper we extend the existing literature on xVA along three directions. First, we extend existing BSDE-based xVA frameworks to include initial margin by following the approach of Crépey (2015a) and Crépey (2015b). Next, we solve the consistency problem that arises when the front- office...
Persistent link: https://www.econbiz.de/10012849115