Gabriele Sarais

Imperial College London - Department of Mathematics

South Kensington Campus

London SW7 2AZ, SW7 2AZ

United Kingdom

SCHOLARLY PAPERS

2

DOWNLOADS

516

SSRN CITATIONS

0

CROSSREF CITATIONS

0

Scholarly Papers (2)

1.

XVA Hedging: Measuring its Performance and Risks via Discrete-Time Simulations.

Number of pages: 6 Posted: 01 Feb 2015
Gabriele Sarais
Imperial College London - Department of Mathematics
Downloads 378 (77,646)

Abstract:

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Derivatives, Risk-Neutral Valuation, Option Pricing, Dynamic Hedging simulations, Discrete-Time Hedging simulations, Valuation Adjustments, Wrong-way risk, Basel II, Basel III, Capital management, CVA, DVA, FVA, FBA, FCA, KVA, Counterparty Risk, Funding Risk

2.

Macroeconomic-Based No-Arbitrage Dynamics for Inflation Securities Valuation

Number of pages: 40 Posted: 31 Mar 2014 Last Revised: 17 Feb 2015
Damiano Brigo and Gabriele Sarais
Imperial College London - Department of Mathematics and Imperial College London - Department of Mathematics
Downloads 138 (209,202)

Abstract:

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Inflation, Derivatives, DSGE Models, Monetary Macroeconomic Models, Calibration, Hull-White Model, Central Bank Policy, Risk-Neutral Valuation, Option Pricing, Taylor Rule, Inflation-Linked Securities, Stress Testing, Macro-Hedging