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q-fin.CP2026
A Geometry-Aware Residual Correction of Hagan's SABR Implied Volatility Formula
Adil Reghai, Lama Tarsissi, Gérard Biau +1
This paper proposes a hybrid methodology to improve the approximation of SABR (Stochastic Alpha Beta Rho) implied volatility by combining analytical structure with machine learning…
q-fin.CP2020
Computation of Expected Shortfall by fast detection of worst scenarios
Bruno Bouchard, Adil Reghai, Benjamin Virrion
We consider a multi-step algorithm for the computation of the historical expected shortfall such as defined by the Basel Minimum Capital Requirements for Market Risk. At each step…