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20192024
most citedCalibrating Local Volatility Models with Stochastic Drift and Diffusion

5 citations · 14 across the 12 of their papers we have counts for

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Showing 2021Show all

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q-fin.CP2021

Estimating Future VaR from Value Samples and Applications to Future Initial Margin

Narayan Ganesan, Bernhard Hientzsch

Predicting future values at risk (fVaR) is an important problem in finance. They arise in the modelling of future initial margin requirements for counterparty credit risk and futur…