Publication Information

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1181, 1198, 1219, 1235, 1249, 1263, 1276, 1291, 1310, 1328, 1341, 1358, 1376, 1395, 1412, 1426], 'Journal': [111, 1607, 1650, 1781, 1829, 2162, 2706, 2731, 2922, 3187], 'Theoretical': [113], 'Applied': [115, 360, 627, 1445, 2578], 'Finance,': [116, 1855, 1991, 2014, 2752, 2769, 2925], '925–': [118], '947.': [119], 'Aklam,': [120], 'Peter': [121, 1562], 'J.': [122, 1431, 1767, 2603, 2668, 2670], '(2003).': [123, 2000], '“An': [124, 527, 1976], 'algorithm': [125], 'computing': [127], 'the': [128, 148, 163, 373, 412, 423, 454, 623, 702, 735, 738, 754, 815, 822, 842, 880, 889, 906, 910, 1031, 1051, 1125, 1139, 1154, 1209, 1258, 1286, 1319, 1385, 1441, 1536, 1550, 1698, 1721, 1775, 1800, 1984, 2004, 2077, 2138, 2345, 2519, 2680, 2834, 2849, 2886, 2985, 3037, 3044, 3103, 3108, 3124, 3220], 'inverse': [129], 'normal': [130], 'cumulative': [131], 'distribution': [132], 'function”.': [133], "Peter's": [134], 'Page.': [135], 'url:': [136, 153, 201, 218, 282, 362, 381, 416, 457, 485, 505, 573, 596, 655, 688, 706, 723, 729, 748, 764, 784, 795, 809, 835, 856, 874, 900, 923, 936, 950, 963, 979, 993, 1009, 1025, 1039, 1058, 1075, 1094, 1115, 1133, 1149, 1161, 1183, 1200, 1221, 1237, 1251, 1265, 1278, 1293, 1312, 1330, 1343, 1360, 1378, 1397, 1414, 1428, 1470, 1486, 1505, 1667, 1683, 1706, 1729, 2090, 2185, 2207, 2224, 2332, 2451, 2523, 2551, 2635, 2646, 2665, 2826, 2891, 2914, 2954, 2994, 3070, 3170, 3209], 'http://home.online.no/∼pjacklam/notes/invnorm/index.html.': [137], 'Ambac': [138], '(2010).': [139, 186, 659, 1581, 1588, 1671, 1769, 1975, 2356], '“Ambac': [140], 'Files': [141], 'Bankruptcy': [143, 151], 'Chapter': [145], '11': [146], 'United': [149], 'States': [150], 'Code”.': [152], 'http://www.ambac.com/press/110810.html.': [154], 'Ameritrano,': [155], 'Ferdinando': [156], 'Marco': [158, 468, 1587], 'Bianchetti': [159], '“': [161, 368, 2792], 'Bootstrapping': [162], 'Illiquidity:': [164], 'Multiple': [165, 2727], 'Yield': [166, 2342], 'Curve': [167, 226], 'Construction': [168, 227], 'Market': [170, 195, 276, 704, 885, 894, 1481, 1847, 2010], 'Coherent': [171], 'Forward': [172, 914, 1753, 2008, 2632], 'Rates': [173, 397, 1498, 1626], 'Estimation”.': [174], 'Modelling': [175], 'Interest': [176, 293, 314, 334, 396, 1497, 1582, 1694, 1717, 1850, 2024, 2684], 'Rates,': [177], 'Ed.': [178, 1881, 2805], 'Mercurio': [180, 1999, 2022], 'Fabio.': [181], 'Risk': [182, 212, 341, 560, 612, 614, 1017, 1049, 1083, 1120, 1169, 1372, 1408, 2053, 2157, 2202, 2312, 2363, 2743, 2761, 2803, 2809, 2873], 'Books.': [183, 615, 2810], 'Amin,': [184], 'Ahsan': [185], '“Calibration,': [187], 'Simulation': [188], 'Hedging': [190, 610, 1572, 2477], 'Heston': [193], 'Libor': [194, 275, 3182], 'with': [197, 213, 228, 278, 1736, 2154, 2178, 2199, 2218, 2260, 2960, 3089, 3184], 'Stochastic': [198, 279, 628, 1662, 1749, 1986, 2121, 2704], 'Basis”.': [199, 2549], 'SSRN.': [200, 217, 281, 415, 456, 484, 504, 687, 1485, 1504, 1666, 1682, 1705, 1728, 2089, 2184, 2206, 2223, 2450, 2522, 2550, 2634, 2788, 2953], 'http://ssrn.com/abstract=1704415.': [202], 'Amini,': [203], 'Hamed,': [204], 'Damir': [205], 'Filipovic,': [206], 'Andreea': [208], 'Minca': [209], '(2014).': [210, 432, 512, 638, 2309, 2487], '“Systemic': [211], 'Central': [214, 1173, 1194, 2947], 'Counterparty': [215, 559, 1167, 1370, 1406, 2156, 2201, 2362, 2478, 2742, 2760, 2902, 2949, 2951], 'Clearing”.': [216], 'http://ssrn.com/abstract=2275376.': [219], 'Andersen,': [220, 239, 266, 284, 305, 325], 'Leif': [221, 240, 267, 285, 306, 326], 'B.': [222, 241, 268, 286, 307, 327], 'G.': [223, 242, 269, 287, 308, 328, 385, 1435, 1789], '(2007).': [224, 578, 1746, 2573, 2882], '“Discount': [225], 'Tension': [229], 'Splines”.': [230], '10.3,': [231], 'Research,': [235, 262, 1533, 1759], '227–': [237], '267.': [238], 'Jesper': [244, 408, 419, 431, 444], 'Andreasen': [245], '(2000).': [246, 565], '“Jump-Diffusion': [247], 'Processes:': [248], 'Volatility': [249, 1501, 1664, 2533, 2818], 'Smile': [250, 2005], 'Fitting': [251], 'Numerical': [253, 1783, 2733], 'Methods': [254, 1824, 2119, 2725], 'Option': [256, 1622, 2607], 'Pricing”.': [257, 1827, 2749], '4.3,': [258], '231–': [264, 1888], '262.': [265], 'Brotherton-Ratcliffe': [272], '“Extended': [274], 'Models': [277, 621, 629, 1925, 2026, 2245, 2343, 2820], 'Volatility”.': [280], 'http://ssrn.com/abstract=294853.': [283], 'Vladimir': [289, 310, 330, 510], 'V.': [290, 311, 331, 523], 'Piterbarg': [291, 312, 332, 511], '(2010a).': [292], 'Rate': [294, 315, 335, 1583, 1695, 1718, 1851, 2025], 'Modeling.': [295, 316, 336], 'Volume': [296, 317, 337], '1:': [297], 'Foundations': [298], 'Vanilla': [300], 'Models.': [301, 321], 'Atlantic': [302, 322, 343], 'Press.': [304, 324, 345], '(2010b).': [313], '2:': [318], '(2010c).': [333], '3:': [338], 'Products': [339], 'Management.': [342, 613, 675], 'Anderson,': [346, 364, 383], 'E.': [347, 1474, 1477, 1790, 1794, 2671], '(1999).': [350, 953, 1452, 2621, 2791], 'LAPACK': [351], "Users'": [352], 'Guide.': [353, 2611], '3rd': [354], 'ed.,': [355, 2032], 'Society': [356], 'Industrial': [358], 'Mathematics.': [361], 'http://www.netlib.org/lapack/lug/.': [363], 'Herbert': [365, 1508, 1539], 'L.': [366, 1894, 2718], '(1986).': [367], 'Metropolis,': [369], 'Monte': [370, 2504, 2795, 3221], 'Carlo,': [371], 'MANIAC”.': [374], 'Los': [375, 3224], 'Alamos': [376, 3225], 'Science,': [377, 2106, 3226], '96–': [379], '108.': [380], 'http://library.lanl.gov/cgi-bin/getfile?00326886.pdf.': [382], 'Richard': [384, 1913], 'Yang': [387], 'Liu': [388], '(2013).': [389, 473, 1565, 2231, 2407, 2530, 2562, 2639, 2778, 2931], '“How': [390], 'Low': [391], 'Can': [392], 'You': [393, 2586], 'Go?': [394], 'Negative': [395, 502], "Investors'": [399], 'Flight': [400], 'Safety”.': [402], 'The': [403, 605, 1299, 1677, 1703, 1726, 3207, 3242], 'Regional': [404], 'Economist,': [405], 'January.': [406], 'Andreasen,': [407, 418, 430, 443], '“Turbo': [410], 'Charging': [411], 'Cheyette': [413, 2534], 'Model”.': [414, 1665, 1946, 1988, 2011, 2521, 2535], 'http://ssrn.com/abstract=1719142.': [417], '(2005).': [420, 1939, 2454], '“Back': [421], 'Future”.': [424], '18.9,': [425], 'Risk,': [426, 517, 1594, 1932, 1968, 2044, 2059, 2140, 2165, 2237, 2253, 2262, 2274, 2288, 2302, 2314, 2366, 2379, 2390, 2402, 2420, 2536, 2964, 3190], '104–': [428], '109.': [429], '“CVA': [433, 2215], 'on': [434, 644, 701, 737, 1517, 1674, 1799, 2084, 2325, 2417, 2436, 2546, 2785, 2978, 3005, 3031, 3121, 3151], 'an': [435], 'iPad': [436], 'Mini”.': [437], 'Global': [438, 1210], '2014,': [440], 'ICBI,': [441], 'Amsterdam.': [442], 'Brian': [446], 'Norsk': [447], 'Huge': [448], '(2011).': [449, 460, 548, 1871, 2039, 2243, 2370, 2604, 2652, 2944, 3248], '“ZABR': [450], '–': [451, 533, 777, 1087, 1121, 1175, 1227, 1322, 1390, 2027, 2433, 2885, 3018, 3065, 3138, 3165], 'Expansions': [452], 'Masses”.': [455], 'http://ssrn.com/abstract=1980726.': [458], 'ANSI': [459], '“ISO/IEC': [461], '14882:2011': [462], 'Standard': [463, 568, 2272], 'C++': [464], '11”.': [465], 'Antonov,': [466, 487, 507, 519], 'Alexandre,': [467, 488], 'Bianchetti,': [469, 1586], 'Ion': [471, 2471], 'Mihai': [472], '“Funding': [474, 2232], 'Value': [475, 915], 'Adjustment': [476], 'General': [478, 825], 'Instruments:': [480], 'Practice”.': [483], 'http://ssrn.com/abstract=2290987.': [486], 'Michael': [489, 492, 2337, 2790], 'Konikov,': [490], 'Spector': [493], '“The': [495, 639, 682, 788, 927, 1364, 1401, 1601, 1642, 1846, 2279, 2574, 2698, 2932, 3180], 'Boundary': [497], 'SABR:': [498], 'Natural': [499], 'Extension': [500], 'Rates”.': [503, 2685], 'http://ssrn.com/abstract=2557046.': [506], 'Alexandre': [508], '“Options': [513], 'Collateral': [515, 2086, 2181], 'Options”.': [516], '27.3.': [518], 'I.': [520, 1580], 'M.': [524, 1793], 'Saleev': [525], '(1979).': [526], 'Economic': [528, 1068, 1831], 'Method': [529, 1367], 'Computing': [531, 1045, 1879], 'LPτ': [532], 'Sequences”.': [534], 'U.S.S.R.': [535], 'Comput.': [536], 'Maths.': [537], 'Math.': [538, 1907], 'Phys.,': [539], '252–': [541], '256.': [542], 'Artaud,': [543], 'Gilles': [544], 'Veronique': [546], 'Berger': [547], '“Trading': [549, 3249], 'versus': [550], 'banking': [551, 1109], 'approach': [552], 'CVA”.': [554, 2566, 2767], '2nd': [555, 2031], 'Annual': [556], 'CVA': [557, 2177, 2414, 2783], 'Conference,': [561], 'Marcus': [562], 'Evans.': [563], 'ASB': [564], '“Financial': [566], 'Reporting': [567], '18”.': [569], 'Accounting': [570], 'Standards': [571, 776, 840, 2977, 3003, 3030, 3150], 'Board.': [572], 'http://www.frc.org.': [574], 'uk/Our-Work/Publications/ASB/FRS-18-Accounting-Policies/FRS-18-Accounting-Policies.aspx.': [575], 'Assefa,': [576], 'Samson': [577, 1688, 1711], '“Calibration': [579, 2653], 'Pricing': [581, 1602, 1623, 1643, 1678, 1982, 2002, 2475, 2780, 2801, 2819], 'multi-factor': [584], 'quadratic': [585], 'Gaussian': [586, 1700, 1723, 2576], 'model”.': [587], 'Finance': [589, 1948, 2507], 'Centre,': [591], 'University': [592], 'Technology,': [594], 'Sydney.': [595], 'http://www.qfrc.uts.edu.au/research/research_papers/rp197.pdf.': [597], 'Avanitis,': [598], 'Angelo': [599], 'Jon': [601], 'Gregory': [602], 'Credit:': [604], 'Complete': [606], 'Guide': [607], 'Pricing,': [609, 1570], 'Babbs,': [616], 'Simon': [617], '(1993).': [618], '“Generalised': [619], 'Vasicek': [620], 'Structure”.': [625], '9,': [626, 1755, 1947], 'Data': [631], 'Analysis,': [632, 1784, 2734], '49–': [634], '62.': [635], 'Bailey,': [636], 'David': [637], 'Bank': [640, 652, 744, 760, 780, 791, 805, 831, 852, 870, 896, 919, 932, 946, 959, 975, 989, 1005, 1021, 1035, 1054, 1071, 1090, 1111, 1129, 1145, 1157, 1179, 1191, 1196, 1217, 1233, 1247, 1261, 1274, 1289, 1308, 1326, 1339, 1356, 1374, 1393, 1410, 1424], "England's": [642], 'perspective': [643], 'CCP': [645], 'risk': [646, 1305, 1962, 3035], 'management,': [647], 'recovery': [648], 'resolution': [650], 'arrangements”.': [651], 'England.': [654], 'http://www.bankofengland.co.uk/publications/Documents/speeches/2014/speech781.pdf.': [656], 'Balog,': [657], 'Dorá': [658], '“Risk': [660], 'Based': [661], 'Capital': [662, 773, 817, 861, 881, 890, 907, 956, 970, 973, 1000, 1003, 1046, 1069, 1214, 2888, 2900, 2987], 'Allocation”.': [663], 'Proceedings': [664], 'FIKUSZ': [666], "'10,": [667], 'Óbuda': [668], 'University,': [669], 'Keleti': [670], 'Faculty': [671], 'Business': [673], 'Barone,': [676], 'Emilio': [677], 'Antonio': [679, 2423], 'Castagna': [680], '(1998).': [681], 'Information': [683], 'Content': [684], 'Tips”.': [686], 'http://ssrn.com/abstract=2170675.': [689], 'Barr,': [690], 'Alistair': [691], '(2008).': [692, 1012, 1495, 2051, 2115, 2496], '“Lehman': [693, 2319, 3195], 'CDS': [694, 719, 1927, 2411], 'auction': [695], 'prices': [696], 'bonds': [697], 'at': [698, 2594], '8.625': [699], 'cents': [700], 'dollar”.': [703], 'Watch.': [705], 'http://www.marketwatch.com/story/lehman-cds-auction-prices-bonds-at-8625-cents-on-the-dollar.': [707], 'Bases,': [708], 'Daniel': [709, 1658, 1670, 1686, 1709], 'William': [711], 'James': [712, 2560], '(2012).': [713, 2072, 2258, 2295, 2318, 2424, 2816, 2918, 2969], '“ISDA': [714], 'declares': [715], 'Greek': [716], 'credit': [717, 3032], 'event,': [718], 'Payments': [720], 'triggered”.': [721], 'Reuters.': [722], 'http://www.reuters.com/article/2012/03/09/us-greece-cds-isda-trigger-idUSBRE82817B20120309.': [724], 'BBC': [725], '“ENRON:': [727], 'Timeline”.': [728], 'http://news.bbc.co.uk/1/hi/business/1759599.stm.': [730], 'BCBS': [731, 750, 766, 786, 797, 811, 837, 858, 876, 902, 925, 938, 952, 965, 981, 995, 1011, 1027, 1041, 1060, 1077, 1096, 1117, 1135, 1151, 1163, 1186, 1202, 1223, 1239, 1253, 1267, 1280, 1295, 1314, 1332, 1345, 1362, 1380, 1399, 1416], '(1975).': [732], '“Report': [733], 'governors': [736], 'supervision': [739], "banks'": [741], 'foreign': [742], 'establishments”.': [743], 'Settlements.': [747, 763, 783, 794, 808, 834, 855, 873, 899, 922, 935, 949, 962, 978, 992, 1008, 1024, 1038, 1057, 1074, 1093, 1114, 1132, 1148, 1160, 1182, 1199, 1220, 1236, 1250, 1264, 1277, 1292, 1311, 1329, 1342, 1359, 1377, 1396, 1413, 1427], 'http://www.bis.org/publ/bcbs00a.pdf.': [749], '(1983).': [751, 1541, 1733], '“Principles': [752, 1013, 1137], 'Supervision': [755, 843, 928], "Banks'": [757], 'Foreign': [758, 916, 2605], 'Establishments”.': [759, 851], 'http://www.bis.org/publ/bcbsc312.pdf.': [765], '(1987).': [767, 3213], '“Proposals': [768], 'Convergence': [771, 968, 998], 'Measurement': [774, 971, 1001, 1127], 'consultative': [778, 1324, 1391], 'document”.': [779, 1325, 1392], 'http://www.bis.org/publ/bcbs03a.pdf.': [785], '(1988).': [787, 1896], 'Basel': [789, 1032, 1155, 1287], 'Accord”.': [790, 2889], 'http://www.bis.org/publ/bcbs04a.pdf.': [796], '(1990).': [798], '“Information': [799], 'Flows': [800], 'Between': [801], 'Banking': [802, 846, 944, 987, 1245, 2992, 3021, 3068, 3111, 3141, 3168], 'Supervisory': [803, 1122], 'Authorities”.': [804], 'http://www.bis.org/publ/bcbsc313.pdf.': [810], '(1991).': [812, 1619], '“Amendment': [813, 878], 'Basle': [816], 'Accord': [818, 882, 891, 908], 'respect': [820], 'Inclusion': [823], 'Provisions/General': [826], 'Loan-Loss': [827], 'Reserves': [828], 'Capital”.': [830], 'http://www.bis.org/publ/bcbs09.pdf.': [836], '(1992).': [838, 2515], '“Minimum': [839], 'Groups': [847], 'their': [849], 'Cross-Border': [850, 930], 'http://www.bis.org/publ/bcbsc314.pdf.': [857], '(1995).': [859], '“Basle': [860], 'Accord:': [862], 'Treatment': [863], 'Potential': [865], 'Exposure': [866], 'Off-Balance-Sheet': [868], 'Items”.': [869], 'http://www.bis.org/publ/bcbs18.pdf.': [875], '(1996a).': [877], 'Incorporate': [884, 893], 'Risks': [886], 'Amendment': [887], 'Risks”.': [895], 'http://www.bis.org/publ/bcbs24.pdf.': [901], '(1996b).': [903], '“Interpretation': [904], 'Multilateral': [911], 'Netting': [912], 'Exchange': [917, 2606], 'Transactions”.': [918], 'http://www.bis.org/publ/bcbs25.pdf.': [924], '(1996c).': [926], 'Banking”.': [931], 'http://www.bis.org/publ/bcbs27.pdf.': [937], '(1997).': [939, 1821, 1845], '“Core': [940, 983, 1241], 'Principles': [941, 984, 1242], 'Effective': [943, 986, 1244], 'Supervision”.': [945, 988, 1020, 1246], 'http://www.bis.org/publ/bcbs30a.pdf.': [951], 'Adequacy': [957], 'Framework”.': [958, 1034], 'http://www.bis.org/publ/bcbs50.pdf.': [964], '(2004).': [966, 1479, 1923, 2339], '“International': [967, 997], 'Standards”.': [974, 1004], 'http://www.bis.org/publ/bcbs107.htm.': [980], '(2006a).': [982], 'http://www.bis.org/publ/bcbs129.pdf.': [994], '(2006b).': [996], 'http://www.bis.org/publ/bcbs128.htm.': [1010], 'Sound': [1015, 1140], 'Liquidity': [1016, 1300], 'Management': [1018, 1141, 2105], 'http://www.bis.org/publ/bcbs144.pdf.': [1026], '(2009a).': [1028, 1690], '“Enhancements': [1029], 'II': [1033, 2884], 'http://www.bis.org/publ/bcbs157.pdf.': [1040], '(2009b).': [1042, 1713], '“Guidelines': [1043], 'Incremental': [1048], 'Trading': [1052, 1259, 1320, 1386], 'Book”.': [1053, 1260], 'http://www.bis.org/publ/bcbs159.pdf.': [1059], '(2009c).': [1061], '“Range': [1062], 'Practices': [1064], 'Issues': [1066], 'Frameworks”.': [1070], 'http://www.bis.org/publ/bcbs152.pdf.': [1076], '(2011a).': [1078, 2136], '“Application': [1079], 'Own': [1081], 'Adjustments': [1084], 'Consultative': [1088, 1348], 'Document”.': [1089], 'http://www.bis.org/publ/bcbs214.pdf.': [1095], '(2011b).': [1097, 2147], '“Basel': [1098, 1165, 1297, 2883], 'III:': [1099, 1298], 'A': [1100, 2434, 2609, 3251], 'global': [1101], 'regulatory': [1102], 'framework': [1103], 'resilient': [1106], 'banks': [1107], 'systems”.': [1110], 'http://www.bis.org/bcbs/basel3.htm.': [1116], '(2011c).': [1118], '“Operational': [1119], 'Guidelines': [1123], 'Advanced': [1126], 'Approaches”.': [1128], 'http://www.bis.org/publ/bcbs196.pdf.': [1134], '(2011d).': [1136], 'Operational': [1143], 'Risk”.': [1144, 2903], 'http://www.bis.org/publ/bcbs195.pdf.': [1150], '(2012a).': [1152, 2174, 2384], '“About': [1153], 'Committee”.': [1156, 1288], 'http://www.bis.org/bcbs/about.htm.': [1162], '(2012b).': [1164, 2192, 2395], 'III': [1166], 'Exposures': [1171, 1192], 'Counterparties': [1174], 'Frequently': [1176], 'asked': [1177], 'questions”.': [1178], 'http://www.bis.org/publ/bcbs': [1184], '284.htm.': [1185], '(2012c).': [1187, 2214], '“Capital': [1188], 'Requirements': [1189, 1270, 1335, 1351, 1419, 2988, 3016, 3063, 3136, 3163], 'Counterparties”.': [1195], 'http://www.bis.org/publ/bcbs227.pdf.': [1201], '(2012d).': [1203], '“Compilation': [1204], 'Documents': [1206], 'that': [1207], 'Form': [1208], 'Regulatory': [1211, 2899, 2975, 3001, 3028, 3148], 'Framework': [1212], 'Liquidity”.': [1216], 'http://www.bis.org/bcbs/basel3/compilation.htm.': [1222], '(2012e).': [1224], '“Consultative': [1225], 'Document': [1226, 1349], 'Margin': [1228, 1350], 'requirements': [1229], 'non-centrally-cleared': [1231], 'derivatives”.': [1232], 'http://www.bis.org/publ/bcbs226.pdf.': [1238], '(2012f).': [1240], 'http://www.bis.org/publ/bcbs230.pdf.': [1252], '(2012g).': [1254], '“Fundamental': [1255, 1316, 1382], 'http://www.bis.org/publ/bcbs219.pdf.': [1266], '(2012h).': [1268], '“Margin': [1269, 1334, 1418, 2244], 'Non-centrally-cleared': [1272, 1337], 'Derivatives”.': [1273, 1338, 1355, 1423, 1681, 2824, 2912], 'http://www.bis.org/publ/bcbs226.htm.': [1279], '(2013a).': [1281, 2997], 'Brief': [1283], 'History': [1284, 1551], 'http://www.bis.org/bcbs/history.pdf.': [1294], '(2013b).': [1296, 3024], 'Coverage': [1301], 'Ratio': [1302], 'liquidity': [1304], 'monitoring': [1306], 'tools”.': [1307], 'http://www.bis.org/publ/bcbs238.pdf.': [1313], '(2013c).': [1315], 'second': [1323], 'http://www.bis.org/publ/bcbs265.htm.': [1331], '(2013d).': [1333], 'http://www.bis.org/publ/bcbs261.htm.': [1344], '(2013e).': [1346], '“Second': [1347], 'Non-centrally': [1353, 1421], 'Cleared': [1354, 1422], 'http://www.bis.org/publ/bcbs242.pdf.': [1361], '(2013f).': [1363], 'Non-internal': [1365], 'Capitalising': [1369], 'Exposures”.': [1373, 1409], 'http://www.bis.org/publ/bcbs254.pdf.': [1379], '(2014a).': [1381, 2266, 3073], 'Book:': [1387], 'Outstanding': [1388], 'issues': [1389], 'http://www.bis.org/bcbs/publ/d305.htm.': [1398], '(2014b).': [1400, 2278, 3114], 'Standardised': [1402], 'Approach': [1403], 'Measuring': [1405], 'http://www.bis.org/publ/bcbs279.pdf.': [1415], 'http://www.bis.org/bcbs/publ/d317.htm.': [1429], 'Beasley,': [1430], 'D.': [1432, 1509, 1540], 'S.': [1434, 2674], 'Springer': [1436], '(1977).': [1437], '“Percentage': [1438], 'Points': [1439], 'Normal': [1442, 1804], 'Distribution”.': [1443], '26,': [1444], 'Statistics,': [1446, 1810], '118–': [1448], '121.': [1449], 'Beck,': [1450, 1460], 'Kent': [1451], 'Extreme': [1453], 'Programming': [1454], 'Explained:': [1455], 'Embrace': [1456], 'Change.': [1457], 'Addison-Wesley': [1458], 'Professional.': [1459], 'Kent,': [1461], 'Manifesto': [1465], 'Agile': [1467], 'Software': [1468, 1734], 'Development.': [1469], 'http://agilemanifesto.org/.': [1471], 'Belgrade,': [1472], 'N.,': [1473], 'Benhamou,': [1475, 1488], 'Koehler': [1478], 'Inflation”.': [1484], 'http://ssrn.com/abstract=576081.': [1487], 'Eric,': [1489], 'Arnaud': [1490], 'Rivoira,': [1491], 'Anne': [1493], 'Gruz': [1494], '“Stochastic': [1496], 'Local': [1500, 1663], 'Hybrids': [1502], 'Models”.': [1503], 'http://ssrn.com/abstract=1107711.': [1506], 'Benington,': [1507, 1538], '(1956).': [1510], '“Production': [1511, 1542], 'Large': [1513, 1544], 'Computer': [1514, 1545], 'Programs”.': [1515, 1546], 'Symposium': [1516], 'advanced': [1518], 'programming': [1519], 'methods': [1520], 'digital': [1522], 'computers:': [1523], 'Washington,': [1524], 'D.C.,': [1525], 'June': [1526], '28,': [1527], '29,': [1528, 1806], '1956,': [1529], 'Office': [1530], 'Naval': [1532], 'Dept.': [1534], 'Navy.': [1537], '5.4,': [1547], 'Annals': [1548, 1807], 'Computing,': [1553], '350–': [1555], '361.': [1556], 'Benth,': [1557], 'Fred,': [1558], 'Valery': [1559], 'Kholodnyi,': [1560], 'Laurence': [1563], 'eds.': [1564], 'Energy': [1567, 1574, 1967, 2346, 2623], 'Finance:': [1568], 'Modeling,': [1569], 'Commodity': [1576, 1604, 1752], 'Markets.': [1577], 'Beyna,': [1579], 'Derivatives.': [1584, 1919], 'Springer-Verlag.': [1585], '“Two': [1589], 'Curves,': [1590], 'One': [1591, 2627], 'Price”.': [1592], '23.8,': [1593], '74–': [1596], '80.': [1597, 2353], 'Black,': [1598, 1614, 1636], 'Fischer': [1599, 1615, 1637], '(1976).': [1600, 2697, 2720], 'Contracts”.': [1605], '3,': [1606], 'Economics,': [1610, 2709], '167–': [1612, 1761], '179.': [1613], 'Piotr': [1617], 'Karasinski': [1618], '“Bond': [1620], 'when': [1624], 'Short': [1625], 'are': [1627], 'Lognormal”.': [1628], '47,': [1629], 'Analysts': [1631], 'Journal,': [1632], '52–': [1634], '59.': [1635], 'Myron': [1639], 'Scholes': [1640], '(1973).': [1641, 1914], 'Options': [1645, 1928, 2624, 2701, 2847], 'Corporate': [1647], 'Liabilities”.': [1648], '81.3,': [1649], 'Political': [1652], 'Economy,': [1653], '637–': [1655], '654.': [1656], 'Bloch,': [1657, 1669, 1685, 1708], '“Multi-Currency': [1660], 'Fast': [1661], 'http://ssrn.com/abstract=1492086.': [1668], 'Note': [1673, 1798, 2435], 'Emissions': [1675], 'Trading:': [1676], 'Carbon': [1680], 'http://ssrn.com/abstract=1701619.': [1684], 'Assefa': [1689, 1712], '“Fast': [1691, 1714], 'Calibration': [1692, 1715, 1943], 'Claims': [1696, 1719], 'Quadratic': [1699, 1722, 2532], 'Model:': [1701, 1724], '1': [1702], 'Caplets”.': [1704], 'http://ssrn.com/abstract=1361609.': [1707], '2': [1725], 'Swaptions”.': [1727], 'http://ssrn.com/abstract=1441187.': [1730], 'Booch,': [1731], 'Grady': [1732], 'Engineering': [1735], 'Ada.': [1737], 'Benjamin/Cummings': [1738], 'Pub.': [1739], 'Co.': [1740, 2600], 'Borovkova,': [1741], 'Svetlana': [1742], 'Helyette': [1744], 'Geman': [1745], '“Seasonal': [1747], 'Effects': [1750], '186.': [1762], 'Borsdorf,': [1763], 'Rüdiger': [1764], 'Nicholas': [1766], 'Higham': [1768], 'Preconditioned': [1771], 'Newton': [1772], 'Algorithm': [1773], 'Nearest': [1776], 'Correlation': [1777, 2589, 3255], 'Matrix”.': [1778], '30.1,': [1779], 'IMA': [1780], '94–': [1786], '107.': [1787], 'Box,': [1788], 'P.': [1791], 'Muller': [1795], '(1958).': [1796], 'Generation': [1801, 2853], 'Random': [1803, 1875], 'Deviates”.': [1805], 'Mathematical': [1809, 1854, 1990, 2751, 2768], '610–': [1812], '611.': [1813], 'Boyle,': [1814], 'Phelim,': [1815], 'Mark': [1816, 2093], 'Broadie,': [1817, 2092], 'Paul': [1819, 1869, 1891, 2095, 2494, 2917], 'Glasserman': [1820, 2096, 2495], '“Monte': [1822], 'Carlo': [1823, 3222], 'Security': [1826, 2099], '21,': [1828], 'Dynamics': [1832], 'Control,': [1834], '1267–': [1836], '1321.': [1837], 'Brace,': [1838], 'Alan,': [1839], 'Dariusz': [1840], 'Gatarek': [1841], 'Marek': [1843], 'Musiela': [1844], 'Dynamics”.': [1852], '7.2,': [1853], '127–': [1857], '155.': [1858], 'Bradley,': [1859], 'Thomas,': [1860], 'Jaques': [1861], 'du': [1862], 'Toit,': [1863], 'Mike': [1864, 2293], 'Giles,': [1865], 'Robert': [1866], 'Tong,': [1867], 'Woodhams': [1870], '“Parallelisation': [1872], 'Techniques': [1873], 'Number': [1876, 2723], 'Generators”.': [1877], 'GPU': [1878], 'Gems,': [1880], 'Wen': [1883], 'mei': [1884], 'W.': [1885, 2829], 'Hwu,': [1886], '246.': [1889], 'Bratley,': [1890], 'Bennett': [1893], 'Fox': [1895], '“Algorithm': [1897], '659:': [1898], 'Implementing': [1899, 3075], "Sobol's": [1900], 'Quasirandom': [1901], 'Sequence': [1902], 'Generator”.': [1903], '14.1,': [1904], 'ACM': [1905], 'Trans.': [1906], 'Softw.,': [1908], '88–': [1910], '100.': [1911], 'Brent,': [1912], 'Algorithms': [1915], 'Minimization': [1917], 'without': [1918], 'Prentice-Hall.': [1920], 'Brigo,': [1921, 1934, 1954, 1970, 1995, 2018, 2034, 2046, 2063], 'Damiano': [1922, 1935, 1955, 1971, 1996, 2019, 2035, 2047], '“Market': [1924], 'Callable': [1930], 'Floaters”.': [1931], '17.11.': [1933], 'Aurelien': [1937], 'Alfonsi': [1938], '“Credit': [1940], 'Default': [1941, 1980], 'Swaps': [1942], 'Interest-Rate': [1945], 'Stochastics,': [1950, 2509], '29–': [1952], '42.': [1953], 'Imane': [1957], 'Bakkar': [1958], '“Accurate': [1960], 'counterparty': [1961], 'valuation': [1963, 2980, 3007, 3033, 3153], 'energy-commodities': [1965], 'swaps”.': [1966], 'March.': [1969], 'Naoufel': [1973], 'El-Bachir': [1974], 'Exact': [1977], 'Formula': [1978], "Swaptions'": [1981], 'SSRJD': [1985], 'Intensity': [1987], '20.3,': [1989], '365–': [1993], '382.': [1994], 'Fabio': [1998, 2021], '“Analytical': [2001], 'LIBOR': [2009], '3.1,': [2012], '15–': [2016], '27.': [2017], '(2006).': [2023, 2869, 2910, 3179], 'Practice.': [2030], 'Massimo': [2037], 'Morini': [2038], '“Close': [2040], 'Out': [2041, 2832], 'Convention': [2042], 'Tensions”.': [2043], '24.12.': [2045], 'Andrea': [2049, 2067], 'Pallavicini': [2050], '“Counterparty': [2052], 'CCDSs': [2055], 'under': [2056, 2981, 3008, 3053, 3127, 3154], 'Correlation”.': [2057], '21.2,': [2058], '84–': [2061], '88.': [2062], 'Damiano,': [2064], 'Cristin': [2065], 'Buescu,': [2066], 'Pallavicini,': [2068], 'Qing': [2070], 'Lui': [2071], '“Illustrating': [2073], 'Problem': [2075], 'Self-Financing': [2078], 'Condition': [2079], 'Two': [2081], '2010-2011': [2082], 'Papers': [2083], 'Funding,': [2085], 'Discounting”.': [2088], 'http://ssrn.com/abstract=2103121.': [2091], '(1996).': [2097], '“Estimating': [2098], 'Price': [2100], 'Using': [2102], 'Simulation”.': [2103], '42.2,': [2104], '269–': [2108], '285.': [2109], 'Bruti-Liberati,': [2110], 'Nicola': [2111], 'Eckhard': [2113], 'Platen': [2114], '“Strong': [2116], 'Predictor–Corrector': [2117], 'Euler': [2118], 'Differential': [2122, 2149], 'Equations”.': [2123], '08.03,': [2124], 'Stochastics': [2125], 'Dynamics,': [2127], '561–': [2129], '581.': [2130], 'Burgard,': [2131, 2142, 2169, 2187, 2209, 2226], 'Christoph': [2132, 2143, 2170, 2188, 2210, 2227], 'Mats': [2134, 2145, 2172, 2190, 2212, 2229], 'Kjaer': [2135, 2146, 2173, 2191, 2213, 2230], '“In': [2137], 'Balance”.': [2139], '24.10.': [2141], '“Partial': [2148], 'Equation': [2150], 'Representations': [2151, 2196], 'Bilateral': [2155, 2200], 'Funding': [2159, 2179, 2204, 2219, 2234, 2745, 2763], 'Costs”.': [2160, 2235], '7,': [2161], '75–': [2167], '93.': [2168], 'Generalised': [2176], 'via': [2182], 'Semi-Replication”.': [2183], 'http://ssrn.com/abstract=2027195.': [2186], '“Addendum': [2193], 'to:': [2194], '‘PDE': [2195], 'Costs’”.': [2205], 'http://ssrn.com/abstract=2109723.': [2208], 'FVA': [2217, 2400, 2426, 2438], 'Aware': [2220], 'Close': [2221, 2397], 'Outs”.': [2222], 'http://ssrn.com/abstract=2157631.': [2225], 'Strategies,': [2233], '26.12,': [2236], '82–': [2239], '87.': [2240], 'Cameron,': [2241, 2256, 2264, 2276], 'Matt': [2242, 2257, 2265, 2277], 'Converge': [2246], 'as': [2247], 'CCPs': [2248], 'Battle': [2249], 'Dealer': [2251], 'Support”.': [2252], '24.': [2254, 2380], '10.': [2255], '“Breaking': [2259], 'Tradition”.': [2261], '25.3.': [2263], '“Isda': [2267], 'Forced': [2268], 'Rework': [2270], 'Year-old': [2271], 'CSA”.': [2273], '27.2.': [2275], 'Black': [2280], 'Art': [2281], 'FVA,': [2283], 'Part': [2284, 2747, 2765], 'II:': [2285, 2766], 'Conditioning': [2286], 'chaos”.': [2287], '27.4.': [2289], 'Capriotti,': [2290, 2304], 'Luca': [2291, 2305], 'Giles': [2294], '“Algorithmic': [2296], 'Differentiation:': [2297], 'Adjoint': [2298], 'Greeks': [2299], 'Made': [2300], 'Easy”.': [2301], '25.9.': [2303], 'Jacky': [2307], 'Lee': [2308], '“Adjoint': [2310], 'Management”.': [2313, 2874], '27.8.': [2315], 'Carmiel,': [2316], 'Oshrat': [2317], 'Lives': [2320], 'Pay': [2322], '18': [2323], 'Cents': [2324], 'Dollar': [2326], 'With': [2327], 'Sales:': [2329], 'Mortgages”.': [2330], 'http://www.bloomberg.com/news/2012-08-13/lehman-lives-to-pay-18-cents-on-dollar-with-new-sales-mortgages.html.': [2333], 'Carmona,': [2334], 'Ludkovski': [2338], '“Spot': [2340], 'Convenience': [2341], 'Markets”.': [2347], '351,': [2348], 'Contemporary': [2349], 'Mathematics,': [2350], '65–': [2352], 'Carver,': [2354, 2368, 2382, 2393, 2405], 'Laurie': [2355, 2369, 2383, 2394, 2406], '“Quant': [2357], 'Congress': [2358], 'USA:': [2359], 'Ban': [2360], 'DVA,': [2361], 'Quant': [2364], 'Says”.': [2365], '23.7.': [2367], '“Quants': [2371], 'Call': [2372], 'Isda': [2374], 'Clarify': [2376], 'Close-out': [2377], 'Values”.': [2378], '12.': [2381], '“DVA': [2385], 'is': [2386, 2427], 'Shameful': [2388], 'Scam”.': [2389], '25.': [2391, 2403], '11.': [2392], '“Traders': [2396], 'Ranks': [2398], 'against': [2399], 'Critics”.': [2401], '9.': [2404], '“Proxy': [2408], 'War:': [2409], 'Shrinking': [2410], 'market': [2412], 'leaves': [2413], 'DVA': [2416], 'shaky': [2418], 'ground”.': [2419], '26.3.': [2421], 'Castagna,': [2422], '“Yes,': [2425], 'Cost': [2429, 2440], 'Desks': [2432], '‘Is': [2437], 'Desks?’': [2443], 'Prof.': [2445, 2448], 'Hull': [2446], 'White”.': [2449], 'http://ssrn.com/abstract=2141663.': [2452], 'Celoxica': [2453], '“Handel-C': [2455], 'Language': [2456], 'Reference': [2457], 'Manual”.': [2458], 'Celoxica.': [2459], 'Cesari,': [2460], 'Giovanni,': [2461], 'John': [2462, 2612, 2692, 3216], 'Aquilina,': [2463], 'Niels': [2464], 'Charpillon,': [2465], 'Zlatko': [2466], 'Filipović,': [2467], 'Gordon': [2468], 'Lee,': [2469], 'Manda': [2472], 'Modelling,': [2474], 'Exposure.': [2480], 'Chacon,': [2482], 'Scott': [2483], 'Ben': [2485], 'Straub': [2486], 'Pro': [2488], 'Git.': [2489], 'Apress.': [2490], 'Chen,': [2491], 'Zhiyong': [2492], '“Sensitivity': [2497], 'Estimates': [2498], 'Portfolio': [2500], 'using': [2503], 'Carlo”.': [2505], '12.4,': [2506], '507–': [2511], '540.': [2512], 'Cheyette,': [2513], 'Oren': [2514, 2868], '“Markov': [2516], 'Representation': [2517], 'Heath-Jarrow-Morton': [2520], 'http://ssrn.com/abstract=6073.': [2524], 'Chibane,': [2525, 2538], 'Messaoud': [2526, 2539], 'Dikman': [2528], 'Law': [2529], '26.6.': [2537], 'Guy': [2541], 'Sheldon': [2542], '“Building': [2544], 'Curves': [2545], 'Good': [2548], 'http://ssrn.com/abstract=1394267.': [2552], 'Chourdakis,': [2553], 'Kyriakos,': [2554], 'Eduardo': [2555], 'Epperlein,': [2556], 'Marc': [2557], 'Jeannin,': [2558], 'McEwen': [2561], 'Cross-section': [2564], 'across': [2565], 'Nomura.': [2567], 'Cifuentes,': [2568], 'Arturo': [2569], 'Georgios': [2571], 'Katsaros': [2572], 'One-Factor': [2575], 'Copula': [2577], 'CDOs:': [2580], 'Just': [2581], 'Say': [2582], 'NO': [2583], '(Or,': [2584], 'If': [2585], 'See': [2587], 'Smile,': [2590], 'She': [2591], 'Is': [2592], 'Laughing': [2593], 'Your': [2595], '“Results”)”.': [2596], 'R.W.': [2597], 'Pressprich': [2598], '&': [2599, 2614], 'Clark,': [2601], 'Iain': [2602], 'Pricing:': [2608], 'Practitioners': [2610], 'Wiley': [2613], 'Sons.': [2615], 'Clewlow,': [2616], 'Les': [2617], 'Chris': [2619], 'Strickland': [2620], '“Valuing': [2622], 'Factor': [2628], 'Fitted': [2630], 'http://ssrn.com/abstract=160608.': [2636], 'CME': [2637, 2644], 'Group': [2638], '“Introduction': [2640], 'Crack': [2642], 'Spreads”.': [2643], 'Group.': [2645], 'http://www.cmegroup.com/trading/energy/files/EN-211\\_CrackSpreadHandbook\\_SR.PDF.': [2647], 'Combes,': [2648], 'Rémi': [2649], 'Tachet': [2650], 'Des': [2651], 'non': [2654], 'paramétriques': [2655], 'de': [2656], 'modèles': [2657], 'en': [2658], 'finance”.': [2659], 'Ph.D.': [2660], 'thesis,': [2661], 'Ecole': [2662], 'Centrale': [2663], 'Paris.': [2664], 'https://tel.archives-ouvertes.fr/file/index/docid/658766/filename/tachet.pdf.': [2666], 'Cox,': [2667, 2691], 'C.,': [2669], 'Ingersoll,': [2672], 'Ross': [2675, 2696], '(1985).': [2676], '53,': [2686], 'Econometrica,': [2687], '385–': [2689], '407.': [2690], 'Carrington': [2693], 'Stephen': [2695], 'Valuation': [2699, 2850], 'Alternative': [2703], 'Processes”.': [2705], '145–': [2711], '166.': [2712], 'Cranley,': [2713], 'T.': [2716], 'N.': [2717], 'Patterson': [2719], '“Randomization': [2721], 'Theoretic': [2724], 'Integration”.': [2728], '13,': [2729], 'SIAM': [2730], '904–': [2736], '914.': [2737], 'Crépey,': [2738, 2756, 2773], 'Stéphane': [2739, 2757, 2774], '(2015a).': [2740], '“Bilateral': [2741, 2759], 'Constraints': [2746, 2764], 'I:': [2748], '25.1,': [2750], '1–': [2754], '(2015b).': [2758], '23–': [2771], '50.': [2772], 'Abdallah': [2776], 'Rahal': [2777], '“Simulation/Regression': [2779], 'Schemes': [2781], 'Computations': [2784], 'CDO': [2786], 'Tranches”.': [2787], 'Curran,': [2789], 'Recovering': [2793], 'Identity”.': [2794], 'Carlo:': [2796], 'Methodologies': [2797], 'Applications': [2799], 'Management,': [2804], 'Bruno': [2807, 2957], 'Dupire.': [2808], 'Deelstra,': [2811], 'Griselda': [2812], 'Grégory': [2814], 'Rayée': [2815], '“Local': [2817], 'Long-dated': 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