We study triangulation schemes for the joint kernel of a diffusion process with uniformly continuous coefficients and an adapted, non-resonant Abelian process. The prototypical example of Abelian process to which our methods apply is given by stochastic integrals with uniformly continuous...

In the aftermath of the 2007 global financial crisis, banks started reflecting into derivative pricing the cost of capital and collateral funding through XVA metrics. XVA is a catch-all acronym whereby X is replaced by a letter such as C for credit, D for debt, F for funding, K for capital and...

The topics of Economic Capital modelling, reverse stress testing and credit limits are inextricably intertwined as they all focus on exceptional loss events. In this paper, we use the KVA framework in to frame these three topics within a single unified approach. We propose setting credit limits...

Infinitesimal sensitivities, computed as derivatives of pricing functions, are useful to find high-frequency hedge ratios. However, they are less useful for the purpose of optimising 2-week VaR, especially if one includes shocks from stressed periods, as is required for applications to margin...

Banking operations are being rewired around a pair of KVA/FVA metrics which quantify market incompleteness, i.e. the impossibility of perfect replication. The FVA is the cost of funding of debt liabilities while the KVA is the risk adjustment for equity liabilities, also called cost of capital....

Partial differential equation (PDE) pricing methods such as backward and forward induction are typically implemented as unconditionally marginally stable algorithms in double precision for individual transactions. In this paper, we reconsider this strategy and argue that optimal GPU...