| Publication | Date of Publication | Type |
|---|
The recalibration conundrum: hedging valuation adjustment for callable claims
International Journal of Theoretical and Applied Finance | 2026-02-23 | Paper |
Invariance times transfer properties
Probability, Uncertainty and Quantitative Risk | 2026-02-20 | Paper |
| Asymptotic Error Analysis of Multilevel Stochastic Approximations for the Value-at-Risk and Expected Shortfall | 2023-11-26 | Paper |
Pathwise CVA regressions with oversimulated defaults
Mathematical Finance | 2023-09-28 | Paper |
Derivatives risks as costs in a one-period network model
Frontiers of Mathematical Finance | 2023-09-27 | Paper |
Quantitative reverse stress testing, bottom up
Quantitative Finance | 2023-06-20 | Paper |
| Hedging Valuation Adjustment for Callable Claims | 2023-04-04 | Paper |
| A Multilevel Stochastic Approximation Algorithm for Value-at-Risk and Expected Shortfall Estimation | 2023-03-24 | Paper |
Positive XVAs
Frontiers of Mathematical Finance | 2022-10-19 | Paper |
| Hedging Valuation Adjustment and Model Risk | 2022-05-24 | Paper |
XVA analysis from the balance sheet
Quantitative Finance | 2021-12-01 | Paper |
Short communication: Beyond surrogate modeling: learning the local volatility via shape constraints
SIAM Journal on Financial Mathematics | 2021-11-05 | Paper |
Rational multi-curve models with counterparty-risk valuation adjustments
Quantitative Finance | 2021-07-16 | Paper |
Wealth transfers, indifference pricing, and XVA compression schemes
Mathematical Lectures from Peking University | 2020-11-12 | Paper |
Uncertainty quantification for stochastic approximation limits using chaos expansion
SIAM/ASA Journal on Uncertainty Quantification | 2020-08-31 | Paper |
When Capital Is a Funding Source: The Anticipated Backward Stochastic Differential Equations of X-Value Adjustments
SIAM Journal on Financial Mathematics | 2020-05-29 | Paper |
XVA metrics for CCP optimization
Statistics & Risk Modeling | 2020-04-22 | Paper |
Credit, funding, margin, and capital valuation adjustments for bilateral portfolios
Probability, Uncertainty and Quantitative Risk | 2020-02-17 | Paper |
Stochastic approximation schemes for economic capital and risk margin computations
ESAIM: Proceedings and Surveys | 2019-07-11 | Paper |
| Delta-hedging vega risk? | 2019-01-15 | Paper |
Dynamic hedging of counterparty exposure
Inspired by Finance | 2018-12-13 | Paper |
| The sustainable Black-Scholes equations | 2018-11-19 | Paper |
Nonlinear Monte Carlo schemes for counterparty risk on credit derivatives
Innovations in Derivatives Markets | 2018-10-22 | Paper |
XVA principles, nested Monte Carlo strategies, and GPU optimizations
International Journal of Theoretical and Applied Finance | 2018-10-10 | Paper |
A Lévy HJM multiple-curve model with application to CVA computation
Quantitative Finance | 2018-09-19 | Paper |
Multivariate Shortfall Risk Allocation and Systemic Risk
SIAM Journal on Financial Mathematics | 2018-04-16 | Paper |
Invariance properties in the dynamic Gaussian copula model
ESAIM: Proceedings and Surveys | 2018-03-07 | Paper |
Invariance times
The Annals of Probability | 2018-02-14 | Paper |
Invariance times
The Annals of Probability | 2018-02-14 | Paper |
Central clearing valuation adjustment
SIAM Journal on Financial Mathematics | 2017-06-02 | Paper |
Counterparty risk and funding: immersion and beyond
Finance and Stochastics | 2016-10-27 | Paper |
Reduced-Form Modeling of Counterparty Risk on Credit Derivatives
Arbitrage, Credit and Informational Risks | 2015-10-21 | Paper |
A bottom-up dynamic model of portfolio credit risk. I: Markov copula perspective
Recent Advances in Financial Engineering 2012 | 2015-06-19 | Paper |
A bottom-up dynamic model of portfolio credit risk. II: Common-shock interpretation, calibration and hedging issues
Recent Advances in Financial Engineering 2012 | 2015-06-19 | Paper |
BSDEs of counterparty risk
Stochastic Processes and their Applications | 2015-05-27 | Paper |
Bilateral counterparty risk under funding constraints. I: Pricing
Mathematical Finance | 2015-02-20 | Paper |
Bilateral counterparty risk under funding constraints. II: CVA
Mathematical Finance | 2015-02-20 | Paper |
Doubly reflected BSDEs with call protection and their approximation
ESAIM: Probability and Statistics | 2015-02-17 | Paper |
| Counterparty risk and funding. A tale of two puzzles. With an introductory dialogue by Damiano Brigo | 2014-07-11 | Paper |
Dynamic hedging of portfolio credit risk in a Markov copula model
Journal of Optimization Theory and Applications | 2014-06-30 | Paper |
A bottom-up dynamic model of portfolio credit risk with stochastic intensities and random recoveries
Communications in Statistics: Theory and Methods | 2014-06-11 | Paper |
Simulation/Regression Pricing Schemes for CVA Computations on CDO Tranches
Communications in Statistics: Theory and Methods | 2014-06-11 | Paper |
Counterparty risk and funding: the four wings of the TVA
International Journal of Theoretical and Applied Finance | 2013-06-24 | Paper |
INFORMATIONALLY DYNAMIZED GAUSSIAN COPULA
International Journal of Theoretical and Applied Finance | 2013-06-24 | Paper |
Financial modeling. A backward stochastic differential equations perspective
Springer Finance | 2013-04-08 | Paper |
A multiple-curve HJM model of interbank risk
Mathematics and Financial Economics | 2013-02-26 | Paper |
Convertible bonds in a defaultable diffusion model
Stochastic Analysis with Financial Applications | 2012-09-07 | Paper |
Valuation and hedging of CDS counterparty exposure in a Markov copula model
International Journal of Theoretical and Applied Finance | 2012-04-24 | Paper |
Defaultable options in a Markovian intensity model of credit risk
Mathematical Finance | 2011-06-09 | Paper |
Up and down credit risk
Quantitative Finance | 2010-12-20 | Paper |
About the pricing equations in finance
Paris-Princeton Lectures on Mathematical Finance 2010 | 2010-12-14 | Paper |
PARTICLE METHODS FOR THE ESTIMATION OF CREDIT PORTFOLIO LOSS DISTRIBUTIONS
International Journal of Theoretical and Applied Finance | 2010-08-11 | Paper |
Defaultable game options in a hazard process model
Journal of Applied Mathematics and Stochastic Analysis | 2009-11-23 | Paper |
Arbitrage pricing of defaultable game options with applications to convertible bonds
Quantitative Finance | 2009-02-23 | Paper |
Reflected and doubly reflected BSDEs with jumps: a priori estimates and comparison
The Annals of Applied Probability | 2008-11-27 | Paper |
Calibration of the Local Volatility in a Generalized Black--Scholes Model Using Tikhonov Regularization
SIAM Journal on Mathematical Analysis | 2003-09-30 | Paper |
| scientific article; zbMATH DE number 1748684 (Why is no real title available?) | 2003-01-30 | Paper |
Calibration of the local volatility in a trinomial tree using Tikhonov regularization
Inverse Problems | 2003-01-01 | Paper |
Provisions and Economic Capital for Credit Losses
(available as arXiv preprint) | N/A | Paper |
