2 citations · 2 across the 6 of their papers we have counts for
3 papers · 1 filter
No Fear of Discounting - How to Manage the Transition from EONIA to ESTR
Marco Bianchetti, Marco Scaringi
An important step in the Financial Benchmarks Reform was taken on 13th September 2018, when the ECB Working Group on Euro Risk-Free Rates recommended the Euro Short-Term Rate ESTR…
Everything You Always Wanted to Know About XVA Model Risk but Were Afraid to Ask
Lorenzo Silotto, Marco Scaringi, Marco Bianchetti
Valuation adjustments, collectively named XVA, play an important role in modern derivatives pricing to take into account additional price components such as counterparty and fundin…
Learning Bermudans
Riccardo Aiolfi, Nicola Moreni, Marco Bianchetti +2
American and Bermudan-type financial instruments are often priced with specific Monte Carlo techniques whose efficiency critically depends on the effective dimensionality of the pr…