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by agnoatto
February 20th, 2020, 10:14 am
Forum: Programming and Software Forum
Topic: Quantlib design and usage
Replies: 26
Views: 11367

Re: Quantlib design and usage

My 2 cents: Quantlib is overengineered. I remember taking at look at it in the bank. For a period of time I was amazed by the structure, but I soon started to realize that the structure was more a limitation rather than a resource. There are more modern open source projects that can help you. If you...
by agnoatto
May 28th, 2019, 7:17 am
Forum: Book And Research Paper Forum
Topic: Pricing of counterparty risk and funding with CSA discounting, portfolio effects and initial margin
Replies: 0
Views: 8115

Pricing of counterparty risk and funding with CSA discounting, portfolio effects and initial margin

Dear all, I have a new paper on xVA. I would be happy to hear comments. Title: Pricing of counterparty risk and funding with CSA discounting, portfolio effects and initial margin Abstract: In this paper we extend the existing literature on xVA along three directions. First, we extend existing BSDE-b...
by agnoatto
July 2nd, 2018, 11:54 am
Forum: General Forum
Topic: Swaption settlement trend
Replies: 24
Views: 20238

Re: Swaption settlement trend

Hi, I have found the following link: https://quant.stackexchange.com/questions/40174/put-call-parity-for-cash-settled-swaptions The post says "The Euro swaption market is changing from cash to physical settlement quotation in July 2018". Is the information above accurate? No access to Risk, sorry. S...
by agnoatto
June 28th, 2018, 2:33 pm
Forum: Book And Research Paper Forum
Topic: Foreign Exchange and Related Derivatives
Replies: 6
Views: 6577

Re: Foreign Exchange and Related Derivatives

The book by Clark is good. There is useful material on FX conventions and construction of vol surfaces.
by agnoatto
June 25th, 2018, 12:30 pm
Forum: Technical Forum
Topic: How would you price American options?
Replies: 23
Views: 2603

Re: How would you price American options?

Do you mean that the presence of FVA etc should have an impact on the optimal exercise? Well Andrew Green has a paper on that on Risk, but I tend to believe that typically the optimal exercise is treated separately w.r.t. all xVAs like in the old single curve world... At least, this seems to me a pi...
by agnoatto
April 2nd, 2018, 8:32 am
Forum: Technical Forum
Topic: Are there software to compute Initial Margin and MVA and other xVAs?
Replies: 3
Views: 1157

Re: Are there software to compute Initial Margin and MVA and other xVAs?

Hi, For xVA I would suggest the "Open Source Risk Engine" by Quaternion. It is based on Quantlib. If ISDA Simm is the thing you need then you might be interested in the free implementation of ISDA Simm by Acadia Soft https://github.com/AcadiaSoft/simm-lib This library is written in Java. In conseque...
by agnoatto
November 25th, 2017, 10:28 am
Forum: General Forum
Topic: Is it over?
Replies: 87
Views: 64815

Re: Is it over?

Well, I would suggest that there has been a change of focus. In the last 10 years there were a lot of interesting contributions about counterparty credit risk and funding for example. This has brought some new ideas in the literature on BSDEs, just to give an example. I guess the next financial cris...
by agnoatto
October 6th, 2017, 6:01 pm
Forum: Technical Forum
Topic: what does put-call symmetry imply
Replies: 13
Views: 2012

Re: what does put-call symmetry imply

Put call duality is model independent. See page 19 of

On the duality principle in option pricing: semimartingale setting by Ernst Eberlein Antonis Papapantoleon and Albert N. Shiryaev.

You can find it here: http://page.math.tu-berlin.de/~papapan/ ... uality.pdf

Hope this helps.
Alessandro
by agnoatto
December 29th, 2016, 9:02 am
Forum: Book And Research Paper Forum
Topic: Affine Multiple Yield Curve Models
Replies: 0
Views: 1399

Affine Multiple Yield Curve Models

Hi, I allow myself to share a recent paper on multiple curve models, joint work with C. Cuchiero and C. Fontana. Comments are welcome! Link to paper Abstract: We provide a general and tractable framework under which all multiple yield curve modeling approaches based on affine processes, be it short...
by agnoatto
December 14th, 2016, 5:19 pm
Forum: Technical Forum
Topic: XVA of an uncollateralized swaption
Replies: 6
Views: 1380

Re: XVA of an uncollateralized swaption

Hi Daniel, most papers on xVA use a different convention concerning positive and negative part, which is not in line with the one you usually find on books on real Analysis. The exception is given by Bichuch Capponi and Sturm (Arbitrage free pricing of xVA). To put it short $V^-$ is negative in Burg...
by agnoatto
August 20th, 2016, 11:29 am
Forum: General Forum
Topic: FVA: how to build the funding curve
Replies: 3
Views: 903

Re: FVA: how to build the funding curve

My view is that the definition of your funding spread will depend on the interest rate you use for discounting. Given the dynamics of your portfolio, you can split the funding part in an arbitrary number of accounts. This is the so-called "funding invariance principle", see these slides: https://wor...
by agnoatto
August 17th, 2016, 11:09 am
Forum: Book And Research Paper Forum
Topic: New paper on the 4/2 stochastic volatility model
Replies: 0
Views: 1080

New paper on the 4/2 stochastic volatility model

Hi, I have a new paper on the 4/2 model together with Martino Grasselli and Eckhard Platen, that you can find on the arxiv. Comments are welcome! SSRN: http://papers.ssrn.com/sol3/papers.cfm?abstract_id=2824564 Arxiv: https://www.arxiv.org/abs/1608.04683 Title: A Penny Saved is a Penny Earned: Less ...
by agnoatto
May 4th, 2015, 10:27 am
Forum: Technical Forum
Topic: Moments in a Stochastic Volatility Model with Jumps
Replies: 7
Views: 3920

Moments in a Stochastic Volatility Model with Jumps

<t>Hi,I hope I am not misunderstanding what you are doing, but the dynamics of your instantaneous variance process are not those of a square root process: in the diffusion term of V you should have [$]\sqrt{V_t}dW^V_t[$] in place of [$]\sqrt{q_t}dW^V_t[$]. If you are Euler-discretizing the dynamics ...
by agnoatto
June 18th, 2014, 5:33 am
Forum: Book And Research Paper Forum
Topic: A General HJM Framework for Multiple Yield Curve Modeling
Replies: 0
Views: 4715

A General HJM Framework for Multiple Yield Curve Modeling

<t>Hi,I have a new paper on multiple curve models, it is available for download on SSRN:PaperAbstract: We propose a general framework for modeling multiple yield curves which have emerged after the last financial crisis. In a general semimartingale setting, we provide an HJM approach to model the te...
by agnoatto
June 12th, 2014, 10:23 am
Forum: General Forum
Topic: Practical help on bootstrapping and IRS valuation
Replies: 2
Views: 5017

Practical help on bootstrapping and IRS valuation

<r>Hi,By looking at your post I ask myself if there is an issue which comes before your questions: it seems to me that you are still working in a single-curve framework. Are you sure that this is the right choice?Modern bootstrapping AFAIK is very well explained in these papers:Everything You Always...
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