Publications
Publications
Read articles on the latest industry trends in AI, data analytics, and quantitative solutions.
Building the ZARONIA Curve
Abstract ZARONIA is poised to replace JIBAR as the primary reference rate for ZAR-denominated financial products, influencing trillions of rand in outstanding notional value. This transition necessitates a robust methodology for constructing a ZARONIA Overnight...
Fast CVA and PFE on FX Swaps and Forwards Using Rainbow Options
Abstract Electronic trading platforms for high-flow financial products demand rapid computation of marginal Potential Future Exposure (PFE) and Credit Value Adjustment (CVA) impacts for potential new trades. Traditional Monte Carlo methods, while accurate, are...