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ECONIS (ZBW)
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Deep xVA Solver – A Neural Network Based Counterparty Credit Risk Management Framework
Gnoatto, Alessandro
-
2020
In this paper, we present a novel computational framework for portfolio-wide risk management problems where the presence of a potentially large number of risk factors makes traditional numerical techniques ineffective.The new method utilises a coupled system of BSDEs for the valuation...
Persistent link: https://www.econbiz.de/10012834865
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2
Numerische Methoden für hochdimensionale parabolische Gleichungen am Beispiel von Optionspreisaufgaben
Reisinger, Christoph
-
2004
Persistent link: https://www.econbiz.de/10002734206
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3
The wishart short rate model
Gnoatto, Alessandro
- In:
International journal of theoretical and applied finance
15
(
2012
)
8
,
pp. 1-24
Persistent link: https://www.econbiz.de/10009706330
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4
Transition probability of Brownian motion in the octant and its application to default modelling
Kaushansky, Vadim
;
Lipton, Alexander
;
Reisinger, Christoph
- In:
Applied mathematical finance
25
(
2018
)
5/6
,
pp. 434-465
Persistent link: https://www.econbiz.de/10012129173
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5
Efficient exposure computation by risk factor decomposition
Graaf, Cornelis S. L. de
;
Kandhai, D.
;
Reisinger, Christoph
- In:
Quantitative finance
18
(
2018
)
10
,
pp. 1657-1678
Persistent link: https://www.econbiz.de/10012259857
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6
The Long-Term Swap Rate and a General Analysis of Long-Term Interest Rates
Biagini, Francesca
-
2015
We introduce here for the first time the long-term swap rate, char- acterised as the fair rate of an overnight indexed swap with infinitely many exchanges. Furthermore we analyse the relationship between the long-term swap rate, the long-term yield, and the long-term simple rate, considered as...
Persistent link: https://www.econbiz.de/10013020050
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7
A General HJM Framework for Multiple Yield Curve Modeling
Cuchiero, Christa
-
2015
We propose a general framework for modeling multiple yield curves which have emerged after the last financial crisis. In a general semimartingale setting, we provide an HJM approach to model the term structure of multiplicative spreads between (normalized) FRA rates and simply compounded OIS...
Persistent link: https://www.econbiz.de/10013033375
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8
Coherent Foreign Exchange Market Models
Gnoatto, Alessandro
-
2015
A model describing the dynamics of a foreign exchange (FX) rate should preserve the same level of analytical tractability when the inverted FX process is considered. We show that affine stochastic volatility models satisfy such a requirement. Such a finding allows us to use affine stochastic...
Persistent link: https://www.econbiz.de/10013036058
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9
The Wishart Short-Rate Model
Gnoatto, Alessandro
-
2014
We consider a short rate model, driven by a stochastic process on the cone of positive semidefinite matrices. We derive sufficient conditions ensuring that the model replicates normal, inverse or humped yield curves
Persistent link: https://www.econbiz.de/10013066336
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10
An Affine Multi-Currency Model with Stochastic Volatility and Stochastic Interest Rates
Gnoatto, Alessandro
-
2014
We introduce a tractable multi-currency model with stochastic volatility and correlated stochastic interest rates that takes into account the smile in the FX market and the evolution of yield curves. The pricing of vanilla options on FX rates can be performed efficiently through the FFT...
Persistent link: https://www.econbiz.de/10013064455
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