We introduce a new method of optimising the accuracy and time taken to calculate risk for a complex trading book, focusing on the use case of XVA. We dynamically choose the number of paths and time discretisation to target computational effort on calculations that give the most information in...

Mark Bell’s article (2016) is a welcome contribution to the unavoidable task of evaluating a research program that exhibits the problems he identifies: the failure of most quantitative studies to offer strong explanations for proliferation patterns, and their inability to predict out-of-sample...

In this chapter, I present a specific view of signal processing. I provide the basic definitions regarding what - according to our view - signal processing should be seen as, and I elucidate in this perspective the meaning of a selection of relevant algorithms and approaches.