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The quadratic rough Heston model provides a natural way to encode Zumbach effect in the rough volatility paradigm. We apply multi-factor approximation and use deep learning methods to build an efficient calibration procedure for this model.…
The Vanilla Power Law Inflation is plagued with two severe drawbacks, the one being the issue of graceful exit, and the other being its compatibility with the existing data. There's yet another daunting problem generic to any inflationary…
Cash collateral is perfect in that it provides simultaneous counterparty credit risk protection and derivatives funding. Securities are imperfect collateral, because of collateral segregation or differences in CSA haircuts and repo…
We consider the problem of option pricing and hedging when stock returns are correlated in time. Within a quadratic-risk minimisation scheme, we obtain a general formula, valid for weakly correlated non-Gaussian processes. We show that for…
In this paper, we propose HCVR (Hybrid approach with Correlation-aware Voting Rules), a lightweight rule-based feature selection method that combines Parameter-to-Parameter (P2P) and Parameter-to-Target (P2T) correlations to eliminate…
We set up a structural model to study credit risk for a portfolio containing several or many credit contracts. The model is based on a jump--diffusion process for the risk factors, i.e. for the company assets. We also include correlations…
It is a challenging task to predict financial markets. The complexity of this task is mainly due to the interaction between financial markets and market participants, who are not able to keep rational all the time, and often affected by…
During the COVID-19 pandemic, many institutions have announced that their counterparties are struggling to fulfill contracts.Therefore, it is necessary to consider the counterparty default risk when pricing options. After the 2008 financial…
Principal Component Analysis (PCA) is the most common nonparametric method for estimating the volatility structure of Gaussian interest rate models. One major difficulty in the estimation of these models is the fact that forward rate curves…
Canonical Correlation Analysis (CCA) is a method for feature extraction of two views by finding maximally correlated linear projections of them. Several variants of CCA have been introduced in the literature, in particular, variants based…
In this paper we compare two classical one-factor diffusion models which are used to model the term structure of interest rates. One of them is based on the Wiener-Bachelier process while the second one is based on the Ornstein-Uhlenbeck…
Robust and reliable covariance estimates play a decisive role in financial and many other applications. An important class of estimators is based on Factor models. Here, we show by extensive Monte Carlo simulations that covariance matrices…
We derive semi-analytic formulae for the power spectra of two-field inflation assuming an arbitrary potential and non-canonical kinetic terms, and we use them both to build phenomenological intuition and to constrain classes of two-field…
Factor model is a fundamental investment tool in quantitative investment, which can be empowered by deep learning to become more flexible and efficient in practical complicated investing situations. However, it is still an open question to…
In fixed income sector, the yield curve is probably the most observed indicator by the market for trading and fifinancing purposes. A yield curve plots interest rates across different contract maturities from short end to as long as 30…
Various valuation adjustments, or XVAs, can be written in terms of non-linear PIDEs equivalent to FBSDEs. In this paper we develop a Fourier-based method for solving FBSDEs in order to efficiently and accurately price Bermudan derivatives,…
In this paper we introduce an additive two-factor model for electricity futures prices based on Normal Inverse Gaussian L\'evy processes, that fulfills a no-overlapping-arbitrage (NOA) condition. We compute European option prices by Fourier…
Learning disentangled representations without supervision or inductive biases, often leads to non-interpretable or undesirable representations. On the other hand, strict supervision requires detailed knowledge of the true generative…
The two main issues for managing wrong way risk (WWR) for the credit valuation adjustment (CVA, i.e. WW-CVA) are calibration and hedging. Hence we start from a novel model-free worst-case approach based on static hedging of counterparty…
Key to the simplicity of supergravity $\alpha$-attractor models of inflation are Volkov-Akulov fermions, often in the form of nilpotent superfields. Here we explore the possibility of using the double-copy to construct theories of…