4 citations · 6 across the 8 of their papers we have counts for
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q-fin.MF2015
Rational Multi-Curve Models with Counterparty-Risk Valuation Adjustments
Stephane Crepey, Andrea Macrina, Tuyet Mai Nguyen +1
We develop a multi-curve term structure setup in which the modelling ingredients are expressed by rational functionals of Markov processes. We calibrate to LIBOR swaptions data and…
q-fin.MF2015
Dark-Pool Perspective of Optimal Market Making
M. Alessandra Crisafi, Andrea Macrina
We consider a finite-horizon market-making problem faced by a dark pool that executes incoming buy and sell orders. The arrival flow of such orders is assumed to be random and, for…