Patrik Karlsson

drkarlsson.com

Sweden

SCHOLARLY PAPERS

9

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9

Scholarly Papers (9)

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1.

Deep Execution - Value and Policy Based Reinforcement Learning for Trading and Beating Market Benchmarks

Number of pages: 32 Posted: 21 May 2019
Kevin Dabérius, Elvin Granat and Patrik Karlsson
Linkoping University - Department of Computer and Information Science (IDA), Linkoping University - Department of Computer and Information Science (IDA) and drkarlsson.com
Downloads 1,431 (23,727)

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Algorithmic Trading, Deep Learning, Execution Algorithms, Reinforcement Learning, Optimal Execution

2.

KVA, Mind Your P's and Q's!

Number of pages: 20 Posted: 11 Jun 2016 Last Revised: 22 Jan 2018
Shashi Jain, Patrik Karlsson and Drona Kandhai
Indian Institute of Science (IISc) - Deptartment of Management Studies, drkarlsson.com and University of Amsterdam
Downloads 596 (79,388)
Citation 1

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Capital Valuation Adjustment (KVA), Hedging KVA, Hybrid Measure Monte Carlo, Internal Model Method, Valuation Adjustments (XVA)

3.

Efficient Calibration for CVA Using Multi-Level Monte Carlo

Number of pages: 24 Posted: 09 May 2016 Last Revised: 08 Jan 2017
Markus Hofer and Patrik Karlsson
Bayerische Landesbank and drkarlsson.com
Downloads 531 (91,756)

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Multi-level Monte Carlo, Credit Value Adjustments (CVA), XVA, running CVA spread, worst-case bounds, wrong way risk

4.

Efficient Computation of Exposure Profiles on Real-World and Risk-Neutral Scenarios for Bermudan Swaptions

Number of pages: 28 Posted: 07 Jun 2016 Last Revised: 04 Jul 2016
Qian Feng, Shashi Jain, Patrik Karlsson, Drona Kandhai and Cornelis W. Oosterlee
Center for Mathematics and Computer Science (CWI), Indian Institute of Science (IISc) - Deptartment of Management Studies, drkarlsson.com, University of Amsterdam and Utrecht University - Faculty of Science
Downloads 475 (105,072)

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credit valuation adjustment, CVA, Bermudan swaption EE, PFE, risk-neutral measure, real-world measure

5.

Counterparty Credit Exposures for Interest Rate Derivatives Using the Stochastic Grid Bundling Method

Number of pages: 26 Posted: 14 Dec 2014 Last Revised: 01 Apr 2016
Patrik Karlsson, Shashi Jain and Cornelis W. Oosterlee
drkarlsson.com, Indian Institute of Science (IISc) - Deptartment of Management Studies and Utrecht University - Faculty of Science
Downloads 338 (154,631)
Citation 4

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Bermudan Swaptions, Credit Value Adjustment (CVA), Monte Carlo Simulation, Stochastic Grid Bundling Method (SGBM), XVA

6.

Calibrating a Market Model to Commodity and Interest Rate Risk

Number of pages: 24 Posted: 04 May 2016 Last Revised: 02 Jul 2016
Patrik Karlsson, Kay F. Pilz and Erik Schlögl
drkarlsson.com, RIVACON and University of Technology Sydney (UTS), Quantitative Finance Research Centre
Downloads 184 (280,768)
Citation 1

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Calibration, Commodity markets, Derivative pricing, Interest rate modelling, Interest rate derivatives, Oil futures, Energy derivatives

7.

Fast and Accurate Exercise Policies for Bermudan Swaptions in Libor Market Model

Number of pages: 24 Posted: 27 May 2015 Last Revised: 01 Jun 2015
Patrik Karlsson, Shashi Jain and Cornelis W. Oosterlee
drkarlsson.com, Indian Institute of Science (IISc) - Deptartment of Management Studies and Utrecht University - Faculty of Science
Downloads 171 (299,389)

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Applied mathematical finance; Bermudan swaptions; Computational finance; Derivative pricing models; Interest rate modelling; LIBOR Market Model

8.

Finite Element Based Monte Carlo Simulation of Option Prices on Lévy Driven Assets

Number of pages: 21 Posted: 24 Jan 2016
Patrik Karlsson
drkarlsson.com
Downloads 135 (363,300)
Citation 1

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Computational Finance; Derivative Pricing; Finite Element Method; Monte Carlo Simulation, Lévy Processes

9.

Efficient Computation of Exposure Profiles on Real-World and Risk-Neutral Scenarios for Bermudan Swaptions

Journal of Computational Finance, Forthcoming
Number of pages: 34 Posted: 13 Jul 2016
Qian Feng, Shashi Jain, Patrik Karlsson, Drona Kandhai and Cornelis W. Oosterlee
Center for Mathematics and Computer Science (CWI), Indian Institute of Science (IISc) - Deptartment of Management Studies, drkarlsson.com, University of Amsterdam and Utrecht University - Faculty of Science
Downloads 0 (1,061,523)
Citation 1
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Abstract:

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credit valuation adjustment (CVA), credit exposure, potential future exposure (PFE), Bermudan swaption, risk-neutral measure, real-world measure