Post-crisis Quant Finance

Abstract

Introduction Mauro Cesa (Risk Magazine) Part 1 - Derivatives Pricing 1 - Smile dynamics IV Lorenzo Bergomi (Societe Generale) 2 - Funding beyond discounting: collateral agreements and derivatives pricing Vladimir Piterbarg (Barclays Capital) 3 - Two curves, one price Marco Bianchetti (Intesa Sanpaolo Bank) 4 - A Libor market model with a stochastic basis Fabio Mercurio (Bloomberg) 5 - Volatility interpolation Jesper Andreasen and Brian Huge (Danske Bank) 6 - Random grids Jesper Andreasen and Brian Huge (Danske Bank) 7 - Being particular about calibration Julien Guyon (Bloomberg) and Pierre Henry-Labordere (Societe Generale) 8 - Cooking with collateral Vladimir Piterbarg (Barclays Capital) Part 2 - Asset and Risk Management 9 - A dynamic model for hard-to-borrow stocks Marco Avellaneda (New York University) and Mike Lipkin (Colombia University and Katama Trading) 10 - Shortfall factor contributions Richard Martin, AHL, and Roland Ordovas (Banco Santander) 11 - Stressed in Monte Carlo Christian Fries (DZ Bank) 12 - A new breed of copulas for risk and portfolio management Attilio Meucci (Kepos Capital) 13 - A historical-parametric hybrid VAR Robin Stuart (State Street Corporation Global Markets) 14 - Impact-adjusted valuation and the criticality of leverage Jean-Philippe Bouchaud (Capital Fund Management Paris), Fabio Caccioli (Santa Fe Institute) and Doyne Farmer (Institute for New Economic Thinking and University of Oxford) Part 3 - Counterparty Credit Risk 15 - Being two-faced over counterparty credit risk Jon Gregory (Solum Financial Partners) 16 - Real-time counterparty credit risk management in Monte Carlo Luca Capriotti, Jacky Lee (Credit Suisse) and Matthew Peacock (Axon Strategies) 17 - Counterparty risk capital and CVA Michael Pykhtin (Federal Reserve Board) 18 - Partial differential equation representations of options with bilateral counterparty risk and funding costs Christoph Burgard and Mats Kjaer (Barclays Capital) 19 - Close-out convention tensions Damiano Brigo (King's College London) and Massimo Morini (Banca IMI) 20 - Cutting CVA's complexity Pierre Henry-Labordere (Societe Generale)