<t>Argo Magazine N.7 - Summer 2015Download it free hereIn this issue:Off-shore Wind Investment under Uncertainty: Part II James Savage, Mark Cummins and Jean CharpiniOW Bunker: from IPO to Bankruptcy Alessandro Mauro Modelling of Libor-Ois Basis Antonio Castagna, Andrea Cova, Matteo Camelia </t>

<t>Argo Magazine N.5 - Spring 2015Download it free hereIn this issue:Pricing and Risk Management with High-Dimensional Quasi Monte Carlo and Global Sensitivity AnalysisMarco Bianchetti, Sergei Kucherenko and Stefano ScoleriEfficient Computation of the Counterparty Credit Risk Exposure Michele Bonoll...

Argo magazine Winter 2015 is out.Focus on satellite models for stress test and collateral management. Free downlowad here

<t>I wrote a new reasarch article co-authored with Andrea Manuel Cova and Matteo Camelia: "Modelling Libor-Ois Basis"We introduce a set of models that explain the market phenomenology of Libor forward fixings implied in swap prices. The models are all based on the idea that the Libor fixings refer t...

I have just published a new paper that analyses the market instruments to manage collateral. It can be found at here. This is the continuation of a research thread that started with the paper you can download at here.As usual, comments are welcome.

My new work on Collateral Management, Processes, Tools and Metrics is available here.Comments welcome.

<t>B-J,I missed you post, sorry for my late reply.I think that what you define [$]E(t)[$] is what I define as [$]VB(t)[$]. The value of the equity (not the amount invested) is [$]VB(t)[$]since it is the value of the bank to the shareholders.Now, when pricing contracts, for them to be fair, the expec...

<t>Bert-Jan,your critics on my work were quite right. It took me a while to write a new paper (here) to rebuild a framework that could prove my ideas more effectively.I am sorry it took so much time, but hopefully the paper will be more convincing than the other, which I will now judge as a failed a...

<t>I could be wrong, but as I see it, the risk-neutral valuation is always possible.The only difference is that when the marklet is complete (hedging/replication is feasible) the market risk premium does not appear in the formula, so that you can evaluate a contract without any assumption on the ris...

<t>QuoteOriginally posted by: GamalQuoteOriginally posted by: ancastGamal, if you only read "De l'infinito, universo e mondi" or "Lo spaccio della bestia trionfante" (maybe you'll find some English translation) you will understand why he is a top thinker, paving the way to modern science starting wi...

<t>QuoteOriginally posted by: GamalYes. But there's a REAL Bruno. Quite remote from his picture.Gamal, if you only read "De l'infinito, universo e mondi" or "Lo spaccio della bestia trionfante" (maybe you'll find some English translation) you will understand why he is a top thinker, paving the way t...

<t>QuoteOriginally posted by: bjnautaI have finished reading your paper. To my understanding your reasoning is that in a risk neutral setting the debt holders will require a return above the risk free rate to compensate them for default risk. This extra return is [$] e^{rT}p_{T_{i-1}} [$], and may b...

<t>Bert-Jan,1) My definition of VAR is [$]E[V_T]-V^\alpha[$], so that the accrued interest are impllicitly paidd by the expected growth rate of the asset (even when the market risk-premium is nil). Your definition of [$]EC(T_0)[$] is consitent with a VAR computed as [$]V_{T_0}- V^\alpha[$]. When you...

<t>QuoteOriginally posted by: PatAnd the risk free rate is? Libor? Libid? Guvvy? OIS?Well, Libor and Libid is not my preferred choice, since I think they embed some credit risk. Ois could be better, or some other rate. But anyway, the point in my paper is not on which rate should be considered risk-...

<t>After a few months, the debate on FVA seems to have left everyone unsatisfied.HW have written a more detailed and thorough paper to better show their arguments against FVA, but in the end they recognise the practice is not what theory suggests and they seek to limit the damages of this inconsiste...