Article ID: 4fad1d32b49aab9dcee57405460075c0410a0bcda190b66c0bdf7c462024800f
Source ID: regulatory:risk.net
Published At: -
Extraction Method: trafilatura
URL: https://www.risk.net/cutting-edge/banking
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Banking Optimal quoting under adverse selection and price reading A market-making model is introduced to account for significant real-world effects The unreasonable effectiveness of randomised quasi-Monte Carlo in finance An analysis of simulation methods shows which works best for Asian options MI9: runtime governance for agentic AI systems A real-time telemetry system for banks to control and authorise for agentic AI actions Capturing smile dynamics with the quintic volatility model: SPX, SSR and VIX A new model captures the term structure of SPX & VIX implied volatilities, ATM skew, and the skew-stickiness ratio FX market-making with internal liquidity A model to optimally manage clients’ orders to internal liquidity pools is presented Convex volatility interpolation The modelling of implied volatility surfaces is reframed as an optimisation problem Neural networks unleashed: joint SPX/VIX calibration has never been faster SPX and VIX options can be jointly calibrated in real time with deep neural networks Bridging credit transitions and spread dynamics A fast-to-calibrate model to simulate a credit rating transition matrix is presented Floating exercise boundaries for American options in time-inhomogeneous models A pricing model is extended to account for negative interest rates or convenience yields The relative entropy of expectation and price The replacement of risk-neutral pricing with entropic risk optimisation The importance of modelling futures dynamics in commodity index derivatives Index-based and underlying-based pricing methods for commodity derivatives are presented AI as pricing law A neural network tailored to financial asset pricing principles is introduced Skewing the correlation in local and stochastic volatility frameworks via copulas A copula-based model to capture correlation skew in multi-asset derivatives is presented Capital-neutral securitisation risk weights A closed-form formula to allocate capital to the tranches of a securitisation is presented Multi-factor Gaussian model calibration: swaptions and constant maturity swap options A novel closed-form method delivers a new way to calibrate interest rate models Quantum path integrals for default intensity models A method to price credit derivatives via default intensity approximation is presented Simulation of Heston made simple A new way to apply the classic stochastic volatility model is presented The WWR in the tail: a Monte Carlo framework for CCR stress testing A methodology to compute stressed exposures based on a Gaussian copula and mixture distributions is introduced Auto-encoding term-structure models An arbitrage-free low-dimensionality interest rate model is presented The relativity of the fractional Gamma Clock Bank of America quant expands his Gamma Clock model with a fractional Brownian motion Option market-making and vol arbitrage The agent’s view is factored in to a realised-vs-implied vol model
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