8 citations · 10 across the 5 of their papers we have counts for
6 papers
Amortized Interventional Forecasting for Multivariate CIR Processes
Andreas Sauter, Sumit Sourabh, Drona Kandhai +1
Mean-reverting dynamics are pervasive in finance, and the Cox--Ingersoll--Ross (CIR) process is a standard model for the time series they produce, from short rates to credit defaul…
Network characteristics of financial networks
M. Boersma, S. Sourabh, L. A. Hoogduin +1
We embrace a fresh perspective to auditing by analyzing a large set of companies as complex financial networks rather than static aggregates of balance sheet data. Preliminary anal…
A semi-static replication approach to efficient hedging and pricing of callable IR derivatives
Jori Hoencamp, Shashi Jain, Drona Kandhai
We present a semi-static hedging algorithm for callable interest rate derivatives under an affine, multi-factor term-structure model. With a traditional dynamic hedge, the replicat…
Uncovering the mesoscale structure of the credit default swap market to improve portfolio risk modelling
Ioannis Anagnostou, Tiziano Squartini, Drona Kandhai +1
One of the most challenging aspects in the analysis and modelling of financial markets, including Credit Default Swap (CDS) markets, is the presence of an emergent, intermediate le…
Efficient exposure computation by risk factor decomposition
Cornelis S. L. de Graaf, Drona Kandhai, Christoph Reisinger
The focus of this paper is the efficient computation of counterparty credit risk exposure on portfolio level. Here, the large number of risk factors rules out traditional PDE-based…
Understanding the volatility smile of options markets through microsimulation
G. Qiu, D. Kandhai, P. M. A. Sloot
In this work, we aim to gain a better understanding of the volatility smile observed in options markets through microsimulation (MS). We adopt two types of active traders in our MS…