Holmens Kanal 2-12
DK-1092 Copenhagen K
Denmark
Danske Bank - Danske Markets
SSRN RANKINGS
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SABR, negative rates, low rates, swaption volatility interpoaltion, closed formula, swaption price, CMS replication, volatility surface
SABR, closed formula, map approximation, swaption price, CMS replication, volatility surface
machine learning, neural networks, financial mathematics, image rendering, stochastic sampling, tensor train, classical alternatives, option pricing
LMM, stochstic volatility, CMS swaps, CMS caps, CMS spread option, Markovian Projection
Markovian projection, stochastic volatility, Shifted Heston model, Gyongy lemma, index options, Heston basket options, Heston spread options
Credit Exposure, Credit Valuation Adjustment, CVA, American Monte Carlo, backwards pricing, exotic detivatives
volatility, surface, arbitrage-free, Carr-Pelts, SVI, ensemble Carr-Pelts, options
SABR, mixing model, negative rates, low rates, swaption volatility interpoaltion, closed formula, swaption price, CMS replication, volatility surface
Markovian projection, displaced diffusion, Cross Currency Libor Market Models with Skew, FX volatility skew, LMM swaption formula
Markovian projection, displaced diffusion, LIBOR market model, cross-currency model, swaption, volatility skew
Artificial Neural Network, Machine Learning, Asymptotics Control, Multi-Dimensional Splines, Kolmogorov-Arnold Representation Theorem, SABR Model
CSA, collateral, collateral choice option, discounting, Credit Support Annex, OTC
crisis, crunch, funding, collateral, CSA, derivative, repo, no arbitrage, pricing, hedging, replication, PDE, non-linear PDE, SDE, Swap, Bermudan, Swaption, callabl,e Feynman-Kac, OIS, discounting, funding value adjustment, FVA
CEV, CIR, Heston, affine, stochastic volatility, SABR, closed formula, volatility surface
Cross Currency Libor Market Models, FX volatility skew, Markovian projection
Markovian projection, stochastic volatility, Heston model, Gyongy lemma, Heston/Hull-White correlated hybrid, FX-options approximation
AAD, adjoint differentiation, structured products, callable exotics, XVA, CVA, DVA, regression, least-square Monte Carlo, American Monte Carlo, MC, AMC
Markov-Functional model, Cross-Currency model, rolling spot measure
AAD, adjoint differentiation, structured procudts, callable exotics, regression, least-square Monte Carlo, Americal Monte Carlo, MC, AMC
credit exposure, CVA, vanilla swaps, large portfolios, optimization
Spread options, mid curve, Copula, correlation freedom
hedging performance, model performance, payoff replication, model risk, P&L explain
MVA, Initial Margin, AAD, adjoint differentiation, structured products, callable exotics, regression, least-square Monte Carlo, American Monte Carlo, MC, AMC
Multi-factor short rate models, analytical expression for zero bond and swaption price, regular and singular expansions, bounded short rate model, economic scenario gereration
asymptotic expansion, Markovian projection, skew averaging, quadratic volatility model, LIBOR Market Model, swaption, Wiener chaos
XVA, CVA, DVA, FVA, derivative replication, double counting, collateral, balance sheet effects
Margin Valuation Adjustment, Algorithmic Differentiation, Least-Squares Monte Carlo
