no code implementations • 24 May 2022 • Claudio Albanese, Cyril Bénézet, Stéphane Crépey
The dynamic hedging theory only makes sense in the setup of one given model, whereas the practice of dynamic hedging is just the opposite, with models fleeing after the data through daily recalibration.
no code implementations • 1 Sep 2020 • Claudio Albanese, Stephane Crepey, Rodney Hoskinson, Bouazza Saadeddine
XVAs denote various counterparty risk related valuation adjustments that are applied to financial derivatives since the 2007--09 crisis.
