Concept
Forward Rate Agreement
Publications associées (24)
Discount models
Discount is the difference between the face value of a bond and its present value. We propose an arbitrage-free dynamic framework for discount models, which provides an alternative to the Heath-Jarrow-Morton framework for forward rates. We derive general c ...
Heidelberg2023Closed form approximation methods for portfolio valuation and risk management
In this thesis we present three closed form approximation methods for portfolio valuation and risk management.The first chapter is titled ``Kernel methods for portfolio valuation and risk management'', and is a joint work with Damir Filipovi'c (SFI and EP ...
EPFL2023Global Convergence and Variance Reduction for a Class of Nonconvex-Nonconcave Minimax Problems
Nonconvex minimax problems appear frequently in emerging machine learning applications, such as generative adversarial networks and adversarial learning. Simple algorithms such as the gradient descent ascent (GDA) are the common practice for solving these ...
2020