19 citations · 30 across the 8 of their papers we have counts for
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q-fin.CP2020
Nowcasting Networks
Marc Chataigner, Stephane Crepey, Jiang Pu
We devise a neural network based compression/completion methodology for financial nowcasting. The latter is meant in a broad sense encompassing completion of gridded values, interp…
q-fin.RM2020★ 19 cited
XVA Analysis From the Balance Sheet
Claudio Albanese, Stephane Crepey, Rodney Hoskinson +1
XVAs denote various counterparty risk related valuation adjustments that are applied to financial derivatives since the 2007--09 crisis. We root a cost-of-capital XVA strategy in a…