This paper considers a paradigm financial markets trades booking and valuation, data subscription and portfolio revaluation system. Traded instruments covered include: spot and forward exchange rates (FX); credit default swaps (CDS); total return swaps (TRS); commodity and bond futures; traded...

The paper discusses the lower partial moments for the return of the investment portfolio which consists of the assets whose random incomes are modeled by variance-gamma, gamma distributions and constants.The formulas depend on values of generalized hypergeometric functions. As a corollary, the...

Variable annuity policies are typically issued on mutual funds invested in both fixed income and equity asset classes. However, due to the lack of specialized models to represent the dynamics of fixed income fund returns, the literature has primarily focused on studying long-term investment...

Banks must manage their trading books, not just value them. Pricing includes valuation adjustments collectively known as XVA (at least credit, funding, capital and tax), so management must also include XVA. In trading book management we focus on pricing, hedging, and allocation of prices or...

Sharpe-like ratios have been traditionally used to measure the performances of portfolio managers. However, they are known to suffer major drawbacks. Among them, two are intricate: (1) they are relative to a peer's performance and (2) the best score is generally assumed to correspond to a "good"...

We propose a consistent and computationally efficient 2-step methodology for the estimation of multidimensional non-Gaussian asset models built using Lévy processes. The proposed framework allows for dependence between assets and different tail-behaviors and jump structures for each asset. Our...

GLOBAL FINANCE LIQUIDITY RISK REVISITED: JP Morgan Alternative Assets Portfolio Liquidity Assessment Framework & Models: $500 Billion Fund of Funds: 17 Asset ClassesPresentations atJP Morgan World HQ, 270 Park Ave, Manhattan, NY, USAToJP Morgan Global Head of Quant Research & Analytics, JP...