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Results 1-10 of 16
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Issue DateTitleAuthor(s)
1-Jan-2018Impact of Multiple Curve Dynamics in Credit Valuation Adjustments under CollateralizationBormetti, G; Brigo, D; Francischello, M; Pallavicini, A
-Optimal liquidity-based trading tacticsLehalle, C-A; Mounjid, O; Rosenbaum, M
9-Dec-2014Market impacts and the life cycle of investors ordersBacry, E; Iuga, A; Lasnier, M; Lehalle, C-A
19-Jan-2017Fisher consistency for prior probability shiftTasche, D
25-Jul-2015How to predict the consequences of a tick value change? Evidence from the Tokyo Stock Exchange pilot programHuang, W; Lehalle, C-A; Rosenbaum, M
20-Apr-2015An explicit Euler scheme with strong rate of convergence for financial SDEs with non-Lipschitz coefficientsChassagneux, J-F; Jacquier, A; Mihaylov, I
-Funding Valuation Adjustment: a consistent framework including CVA, DVA, collateral,netting rules and re-hypothecationPallavicini, A; Perini, D; Brigo, D
-Restructuring Counterparty Credit RiskAlbanese, C; Brigo, D; Oertel, F
4-Jun-2018Incorporating signals into optimal tradingLehalle, C-A; Neuman, E
16-Mar-2018Universal features of price formation in financial markets: perspectives from Deep LearningCont, R; Sirignano, J; Capital Fund Management; James S. McDonnell Foundation