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Forward Implied Volatility, Implied vol Surface, Time-dependent SABR model, FX options
forward smile risk, SABR stochastic volatility model, joint transition density
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short rate models, multi-curve modeling, swaption calibration, SABR model, stochastic volatility, asymptotic expansion, mean-field approximation
central counterparties, risk-sensitive margin requirements, procyclicality
Consumer behavior, Credit risk, Deep learning, Neural networks, LSTM, Machine learning, Time series, Electronic commerce
Dynamic Quantile Modeling, Parametric Quantile Functions, Time-varying Higher-order Conditional Moments, Asymmetric Heavy-tail Distribution, Long Short-term Memory, Machine Learning, Neural Network, VaR Forecasts, Financial Risk Management
Tail Dependence, Distinct Pairwise Tail Dependencies, Random Vector Transformation, Tail-side Sensitivity, Coverage Test
distributionally robust optimization, chance constraint, Kullback-Leibler (KL) divergence, Cressie-Read divergence, portfolio optimization, financial risk management
GARCH, Tail Risk
Ride matching, Subsidy policy, Queueing model, Stackelberg game
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