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A new self-exciting jump-diffusion process for option pricing

Project: ABC-EU-XVA

Updated at: 28-04-2024

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Project acronym ABC-EU-XVA

Draft Thesis ready

Project: ABC-EU-XVA

Updated at: 28-04-2024

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Project acronym ABC-EU-XVA

A Multi-Level Monte-Carlo with FEM for XVA in European Options

Project: ABC-EU-XVA

Updated at: 28-04-2024

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Project acronym ABC-EU-XVA

Deep learning for CVA computations of large portfolios of financial derivatives

Project: ABC-EU-XVA

Updated at: 28-04-2024

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Project acronym ABC-EU-XVA

Total value adjustment for European options in a multi‐currency setting

Project: ABC-EU-XVA

Updated at: 28-04-2024

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Project acronym ABC-EU-XVA

XVA in a multi-currency setting with stochastic foreign exchange rates.

Project: ABC-EU-XVA

Updated at: 28-04-2024

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Project acronym ABC-EU-XVA

How to handle negative interest rates in a CIR framework

Project: ABC-EU-XVA

Updated at: 28-04-2024

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Project acronym ABC-EU-XVA

Numerical solution of kinetic SPDEs via stochastic Magnus expansions

Project: ABC-EU-XVA

Updated at: 28-04-2024

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Project acronym ABC-EU-XVA

Public website completion

Project: ABC-EU-XVA

Updated at: 28-04-2024

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Project acronym ABC-EU-XVA

Blog and social media

Project: ABC-EU-XVA

Updated at: 28-04-2024

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Project acronym ABC-EU-XVA

Periodic Reporting for period 2 - ABC-EU-XVA (Valuation Adjustments for Improved Risk Management)

Project: ABC-EU-XVA

Updated at: 28-04-2024

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Project acronym ABC-EU-XVA

A deep learning approach for computations of exposure profiles for high-dimensional Bermudan options

Project: ABC-EU-XVA

Updated at: 28-04-2024

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Project acronym ABC-EU-XVA

Convergence of a robust deep FBSDE method for stochastic control

Project: ABC-EU-XVA

Updated at: 28-04-2024

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Project acronym ABC-EU-XVA

An itroduction to rating triggers for collateral-inclusive XVA in an ICTMC framework

Project: ABC-EU-XVA

Updated at: 28-04-2024

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Project acronym ABC-EU-XVA

Joint and Survivor Annuity Valuation with a Bivariate Reinforced Urn Process

Project: ABC-EU-XVA

Updated at: 28-04-2024

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Project acronym ABC-EU-XVA

Accelerated Computations of Sensitivities for xVA

Project: ABC-EU-XVA

Updated at: 28-04-2024

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Project acronym ABC-EU-XVA

Joint and Survivor Annuity Valuation with a Bivariate Reinforced Urn Process,

Project: ABC-EU-XVA

Updated at: 28-04-2024

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Project acronym ABC-EU-XVA

A Multi-Level Monte Carlo Lagrange-Galerkin method for solving a XVA hybrid model in European options

Project: ABC-EU-XVA

Updated at: 28-04-2024

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Project acronym ABC-EU-XVA

Videos

Project: ABC-EU-XVA

Updated at: 28-04-2024

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Project acronym ABC-EU-XVA

Modelling and Computing the Total Value Adjustment for European Derivatives in a Multi-Currency Setting

Project: ABC-EU-XVA

Updated at: 28-04-2024

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Project acronym ABC-EU-XVA

A stochastic Asset Liability Management model for life insurance companies

Project: ABC-EU-XVA

Updated at: 28-04-2024

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Project acronym ABC-EU-XVA

On the stochastic Magnus expansion and its application to SPDEs

Project: ABC-EU-XVA

Updated at: 28-04-2024

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Project acronym ABC-EU-XVA

International Journal of Financial Studies

Project: ABC-EU-XVA

Updated at: 28-04-2024

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Project acronym ABC-EU-XVA

GPU acceleration of the seven-league scheme for large time step simulation of stochastic differential equations

Project: ABC-EU-XVA

Updated at: 28-04-2024

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Project acronym ABC-EU-XVA

Expectation-maximization for univariate reinforced urn processes under left-truncation and right-censoring

Project: ABC-EU-XVA

Updated at: 28-04-2024

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Project acronym ABC-EU-XVA

A novel approach to rating transition modelling via Machine Learning and SDEs in Lie groups

Project: ABC-EU-XVA

Updated at: 28-04-2024

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Project acronym ABC-EU-XVA

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Selected filters:

A new self-exciting jump-diffusion process for option pricing

Draft Thesis ready

A Multi-Level Monte-Carlo with FEM for XVA in European Options

Deep learning for CVA computations of large portfolios of financial derivatives

Total value adjustment for European options in a multi‐currency setting

XVA in a multi-currency setting with stochastic foreign exchange rates.

How to handle negative interest rates in a CIR framework

Numerical solution of kinetic SPDEs via stochastic Magnus expansions

Public website completion

Blog and social media

Periodic Reporting for period 2 - ABC-EU-XVA (Valuation Adjustments for Improved Risk Management)

A deep learning approach for computations of exposure profiles for high-dimensional Bermudan options

Convergence of a robust deep FBSDE method for stochastic control

An itroduction to rating triggers for collateral-inclusive XVA in an ICTMC framework

Joint and Survivor Annuity Valuation with a Bivariate Reinforced Urn Process

Accelerated Computations of Sensitivities for xVA

Joint and Survivor Annuity Valuation with a Bivariate Reinforced Urn Process,

A Multi-Level Monte Carlo Lagrange-Galerkin method for solving a XVA hybrid model in European options

Videos

Modelling and Computing the Total Value Adjustment for European Derivatives in a Multi-Currency Setting

A stochastic Asset Liability Management model for life insurance companies

On the stochastic Magnus expansion and its application to SPDEs

International Journal of Financial Studies

GPU acceleration of the seven-league scheme for large time step simulation of stochastic differential equations

Expectation-maximization for univariate reinforced urn processes under left-truncation and right-censoring

A novel approach to rating transition modelling via Machine Learning and SDEs in Lie groups