We show how Adjoint Algorithmic Differentiation (AAD) can be used to calculate price sensitivities in regression-based Monte Carlo methods reliably and orders of magnitude faster than with standard finite-difference approaches. We present the AAD version of the celebrated least-square algorithms...

We consider customised liquidity pools (CLP), which are trading venues that offer over-the-counter brokerage and dealer services to selected market participants. The dealer activity, whereby two-sided liquidity is offered to a limited pool of clients, shares in common similarities with the...

We propose an approach for the dynamical estimation of initial margins. We determine initial margins at future points in time by computing a risk measure of the modelled price increment over a margin period of risk. As an example, we produce the initial margin process for interest rate swap...

We investigate the joint distribution and the multivariate survival functions for the maxima of an Ornstein-Uhlenbeck (OU) process in consecutive time-intervals. A PDE method, alongside an eigenfunction expansion, is adopted with which we first calculate the distribution and the survival...

We construct models for the pricing and risk management of inflation-linked derivatives. The models are rational in the sense that linear payoffs written on the consumer price index have prices that are rational functions of the state variables. The nominal pricing kernel is constructed in a...

We model continuous-time information flows generated by a number of information sources that switch on and off at random times. By modulating a multi-dimensional Lévy random bridge over a random point field, our framework relates the discovery of relevant new information sources to jumps in...

We develop a class of non-life reserving models using a stable-½ random bridge to simulate the accumulation of paid claims, allowing for an essentially arbitrary choice of a priori distribution for the ultimate loss. Taking an information-based approach to the reserving problem, we derive the...

We apply adjoint algorithmic differentiation (AAD) to the risk management of derivative securities in the situation where the dynamics of securities prices are given in terms of partial differential equations (PDE). With simple examples, we show how AAD can be applied to both forward and...

The general problem of asset pricing when the discount rate differs from the rate at which an asset's cash flows accrue is considered. A pricing kernel framework is used to model an economy that is segmented into distinct markets, each identified by a yield curve having its own market, credit...

Based on a stylised financial system along with a systemic perspective thereof, we consider the structure of an aggregated banking system that is vulnerable to liquidity risks. Within this setup, a consistent mathematical modelling framework for term interest rate systems is derived that enables...