10 citations · 11 across the 6 of their papers we have counts for
4 papers · 1 filter
X-Value adjustments: accounting versus economic management perspectives
Alberto Elices
This paper provides a mathematical framework based on the principle of invariance to classify institutions in two paradigms according to the way in which credit, debit and funding…
A heuristic pricing and hedging framework for multi-currency fixed income desks
Eduard Giménez, Alberto Elices, Giovanna Villani
It is well known that traded foreign exchange forwards and cross currency swaps (CCS) cannot be priced applying overnight cash and carry arguments as they imply absence of funding…
Perturbed Copula: Introducing the skew effect in the co-dependence
Alberto Elices, Jean-Pierre Fouque
Gaussian copulas are widely used in the industry to correlate two random variables when there is no prior knowledge about the co-dependence between them. The perturbed Gaussian cop…
Models with time-dependent parameters using transform methods: application to Heston's model
A. Elices
This paper presents a methodology to introduce time-dependent parameters for a wide family of models preserving their analytic tractability. This family includes hybrid models with…