3 papers
q-fin.RM2025
Sharpening Shapley Allocation: from Basel 2.5 to FRTB
Marco Scaringi, Marco Bianchetti
Risk allocation, the decomposition of a portfolio-wide risk measure into component contributions, is a fundamental problem in financial risk management due to the non-additive natu…
q-fin.CP2025
Learning the Exact SABR Model
Giorgia Rensi, Pietro Rossi, Marco Bianchetti
The SABR model is a cornerstone of interest rate volatility modeling, but its practical application relies heavily on the analytical approximation by Hagan et al., whose accuracy d…
q-fin.CP2025
Effective dimensionality reduction for Greeks computation using Randomized QMC
Luca Albieri, Sergei Kucherenko, Stefano Scoleri +1
Global sensitivity analysis is employed to evaluate the effective dimension reduction achieved through Chebyshev interpolation and the conditional pathwise method for Greek estimat…