176 citations
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8 papers · 1 filter
CCPs, Central Clearing, CSA, Credit Collateral and Funding Costs Valuation FAQ: Re-hypothecation, CVA, Closeout, Netting, WWR, Gap-Risk, Initial and Variation Margins, Multiple Discount Curves, FVA?
Damiano Brigo, Andrea Pallavicini
We present a dialogue on Funding Costs and Counterparty Credit Risk modeling, inclusive of collateral, wrong way risk, gap risk and possible Central Clearing implementation through…
DoF Analysis of the K-user MISO Broadcast Channel with Alternating CSIT
Borzoo Rassouli, Chenxi Hao, Bruno Clerckx
We consider a -user multiple-input single-output (MISO) broadcast channel (BC) where the channel state information (CSI) of user may be either perfect (P), d…
Random Forests on Distance Matrices for Imaging Genetics Studies
Aaron Sim, Dimosthenis Tsagkrasoulis, Giovanni Montana
We propose a non-parametric regression methodology, Random Forests on Distance Matrices (RFDM), for detecting genetic variants associated to quantitative phenotypes representing th…
Linear multi-step schemes for BSDEs
Jean-François Chassagneux
We study the convergence rate of a class of linear multi-step methods for BSDEs. We show that, under a sufficient condition on the coefficients, the schemes enjoy a fundamental sta…
Optimal execution comparison across risks and dynamics, with solutions for displaced diffusions
Damiano Brigo, Giuseppe Di Graziano
We solve a version of the optimal trade execution problem when the mid asset price follows a displaced diffusion. Optimal strategies in the adapted class under various risk criteri…
The arbitrage-free Multivariate Mixture Dynamics Model: Consistent single-assets and index volatility smiles
Damiano Brigo, Francesco Rapisarda, Abir Sridi
We introduce a multivariate diffusion model that is able to price derivative securities featuring multiple underlying assets. Each asset volatility smile is modeled according to a…