19 citations · 26 across the 7 of their papers we have counts for
8 papers
CDO calibration via Magnus Expansion and Deep Learning
Marco Di Francesco, Kevin Kamm
In this paper, we improve the performance of the large basket approximation developed by Reisinger et al. to calibrate Collateralized Debt Obligations (CDO) to iTraxx market data.…
Rating Triggers for Collateral-Inclusive XVA via Machine Learning and SDEs on Lie Groups
Kevin Kamm, Michelle Muniz
In this paper, we model the rating process of an entity by using a geometrical approach. We model rating transitions as an SDE on a Lie group. Specifically, we focus on calibrating…
Numerical solution of kinetic SPDEs via stochastic Magnus expansion
Kevin Kamm, Stefano Pagliarani, Andrea Pascucci
In this paper, we show how the Itô-stochastic Magnus expansion can be used to efficiently solve stochastic partial differential equations (SPDE) with two space variables numericall…
An introduction to rating triggers for collateral-inclusive XVA in an ICTMC framework
Kevin Kamm
In this paper, we model the rating process of an entity as a piecewise homogeneous continuous time Markov chain. We focus specifically on calibrating the model to both historical d…
A novel approach to rating transition modelling via Machine Learning and SDEs on Lie groups
Kevin Kamm, Michelle Muniz
In this paper, we introduce a novel methodology to model rating transitions with a stochastic process. To introduce stochastic processes, whose values are valid rating matrices, we…
On the deterministic-shift extended CIR model in a negative interest rate framework
Marco Di Francesco, Kevin Kamm
In this paper, we propose a new exogenous model to address the problem of negative interest rates that preserves the analytical tractability of the original Cox-Ingersoll-Ross (CIR…
How to handle negative interest rates in a CIR framework
Marco Di Francesco, Kevin Kamm
In this paper, we propose a new model to address the problem of negative interest rates that preserves the analytical tractability of the original Cox-Ingersoll-Ross (CIR) model wi…
On the stochastic Magnus expansion and its application to SPDEs
Kevin Kamm, Stefano Pagliarani, Andrea Pascucci
We derive the stochastic version of the Magnus expansion for linear systems of stochastic differential equations (SDEs). The main novelty with respect to the related literature is…