Quantum Monte Carlo Option Pricing

A Quantization Overview to Credit Counterparty Risk

Modeling of Libor-Ois Basis (Rev)

Towards a Theory of Internal Valuation and Transfer Pricing of Products in a Bank: Funding, Credit Risk and Economic Capital (Rev)

Market Instruments for Collateral Management (Rev)

Collateral Management: Processes, Tools and Metrics (Rev)

Argo Magazine N.10 - Spring 2016

Argo Magazine N.06 - Spring 2015

Argo Magazine N.03 - Summer 2014

Argo Magazine N.02 - Spring 2014

Pricing of derivatives contracts under collateral agreements: liquidity and funding value adjustments

Smile-consistent CMS adjustment in closed form: introducing the Vanna-Volga approach

Consistent pricing of FX options

Analytical pricing of CDOs in a multi-factor setting by a moment-matching approach

Interrelations Amongst Liquidity, Market and Credit Risks: Some Proposals for Integrated Approaches

Funding, liquidity, credit and counterparty links and implications

Pricing swaps including funding costs