19 citations · 32 across the 21 of their papers we have counts for
Showing 2015Show all
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q-fin.RM2015
Which measure for PFE? The Risk Appetite Measure, A
Chris Kenyon, Andrew Green, Mourad Berrahoui
Potential Future Exposure (PFE) is a standard risk metric for managing business unit counterparty credit risk but there is debate on how it should be calculated. The debate has bee…
q-fin.PR2015
Dirac Processes and Default Risk
Chris Kenyon, Andrew Green
We introduce Dirac processes, using Dirac delta functions, for short-rate-type pricing of financial derivatives. Dirac processes add spikes to the existing building blocks of diffu…
q-fin.PR2015
Self-Financing Trading and the Ito-Doeblin Lemma
Chris Kenyon, Andrew Green
The objective of the note is to remind readers on how self-financing works in Quantitative Finance. The authors have observed continuing uncertainty on this issue which may be beca…