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We present a Graphics Processing Unit (GPU) parallelization of the computation of the price of exotic cross-currency interest rate derivatives via a Partial Differential Equation (PDE) approach. In particular, we focus on the GPU-based parallel pricing of long-dated foreign exchange (FX)...
Persistent link: https://www.econbiz.de/10013133913
Offshore assets present investors with an increased investment universe and additional opportunities for reward, but embedded exposure to exchange rates can result in additional risk. In this work, we consider a global equity portfolio of five equity indices (US, Japan, Europe, UK and Canada),...
Persistent link: https://www.econbiz.de/10012942052
GLOBAL FINANCE LIQUIDITY RISK REVISITED: Development of A Framework for Liquidity Assessment in Portfolio Construction Process: Presentations to the JP Morgan Global Head of Quant Research & Analytics and US Head of Portfolio Construction Teams:Presentations To: JP Morgan Global Head of Quant...
Persistent link: https://www.econbiz.de/10013403261
This paper presents an operational framework for assessing the trajectories of production, energy, emissions, and capital accumulation to ensure the implementation of Nationally Determined Contributions (NDCs). The framework combines widely used methodologies (STIRPAT, system dynamics, and...
Persistent link: https://www.econbiz.de/10014343827
Investors can regard passive environment, social, and governance (ESG) investing as a cost-effective strategy to manage systematic ESG risk. This analysis aims to explain the expected performance of passively following an ESG-screened index within the risk-return paradigm. The author formulates...
Persistent link: https://www.econbiz.de/10013297215
The article describes a global and arbitrage-free parametrization of the eSSVI surfaces introduced by Hendriks and Martini in 2019. A robust calibration of such surfaces has already been proposed by the quantitative research team at Zeliade in 2019, but it is sequential in expiries and lacks of...
Persistent link: https://www.econbiz.de/10013292792
In this paper we analyze spot prices and futures quotation data to get inference under both the historical and the risk neutral measure in a commodity crude oil market (data are referred to WTI index which tracks the crude oil barrel price on NYMEX market).While big part of research and...
Persistent link: https://www.econbiz.de/10013027655
We put forward a Merton-type multi-factor portfolio model for assessing banks’ contributions to systemic risk. This model accounts for the major drivers of banks’ systemic relevance: size, default risk and correlation of banks’ assets as a proxy for interconnectedness. We measure systemic...
Persistent link: https://www.econbiz.de/10009011220
We put forward a Merton-type multi-factor portfolio model for assessing banks' contributions to systemic risk. This model accounts for the major drivers of banks' systemic relevance: size, default risk and correlation of banks' assets as a proxy for interconnectedness. We measure systemic risk...
Persistent link: https://www.econbiz.de/10012989230
Johan Gielis showed that all closed curves might be considered as some sort of deformed ellipses. He gave a superformula to parameterize such shapes. In this study an attempt has been made to estimate the parameters of Gielis' superformula from empirical data. We use an optimum search algorithm...
Persistent link: https://www.econbiz.de/10012727068