Nikolai Nowaczyk

Quaternion Risk Management

54 Fitzwilliam Square North

Dublin, D02X308

Ireland

SCHOLARLY PAPERS

3

DOWNLOADS

515

CITATIONS

0

Scholarly Papers (3)

1.

Affine Recursion Problem and a General Framework for Adjoint Methods for Calculating Sensitivities for Financial Instruments

Number of pages: 47 Posted: 09 Nov 2011
Joerg Kienitz and Nikolai Nowaczyk
University of Cape Town (UCT) and Quaternion Risk Management
Downloads 121 (178,578)

Abstract:

Libor Marekt Model, Adjoint Method, Affine Recursion, Bermudan Swaption, Trigger Swaps

2.

Big Data and Graph Theoretic Models: Simulating the Impact of Collateralization on a Financial System

Number of pages: 8 Posted: 01 Jun 2017
Sharyn O'Halloran, Nikolai Nowaczyk and Donal A. Gallagher
Columbia University - School of International & Public Affairs, Quaternion Risk Management and Quaternion Risk Management
Downloads 0 (345,202)

Abstract:

Big Data, Graph Theoretic Models, Stochastic Linear Gauss-Markov Model, Monte Carlo Simulation, Financial Risk Analytics, Collateralizations, Variation Margin, Initial Margin, Open Source Risk Engine

3.

Forecasting Initial Margin Requirements - A Model Evaluation

Number of pages: 36 Posted: 06 Feb 2017
Quaternion Risk Management, Quaternion Risk Management, Quaternion Risk Management and Quaternion Risk Management
Downloads 0 (76,296)

Abstract:

Initial Margin, BCBS-IOSCO, SIMM, MVA, XVA, CCP