papers
Publications (22)
q-fin.CP2014
Efficient XVA Management: Pricing, Hedging, and Attribution using Trade-Level Regression and Global Conditioning
Chris Kenyon, Andrew Green
q-fin.RM2014
VAR and ES/CVAR Dependence on data cleaning and Data Models: Analysis and Resolution
Chris Kenyon, Andrew Green
q-fin.PR2016
XVA at the Exercise Boundary
Andrew Green, Chris Kenyon
astro-ph.HE2017
The Asymmetric Bowshock/PWN of PSR J2124$-$3358
Roger W. Romani, Patrick Slane, Andrew Green
q-fin.PR2015
Self-Financing Trading and the Ito-Doeblin Lemma
Chris Kenyon, Andrew Green
astro-ph.CO2012
The Tully-Fisher Relation for 25,000 SDSS Galaxies as Function of Environment
Philip Mocz, Andrew Green, Max Malacari +1
quant-ph2016
Time Evolution and Deterministic Optimisation of Correlator Product States
Vid Stojevic, Philip Crowley, Tanja ÄuriÄ +2
q-fin.PR2014
Regulatory-Optimal Funding
Chris Kenyon, Andrew Green
q-fin.PR2015
Warehousing Credit (CVA) Risk, Capital (KVA) and Tax (TVA) Consequences
Chris Kenyon, Andrew Green
q-fin.GN2012
Will Central Counterparties become the New Rating Agencies?
Chris Kenyon, Andrew Green
astro-ph.IM2015
First Light Results from the Hermes Spectrograph at the AAT
Andrew Sheinis, Borja Anguiano, Martin Asplund +60
q-fin.RM2015
Which measure for PFE? The Risk Appetite Measure, A
Chris Kenyon, Andrew Green, Mourad Berrahoui
q-fin.PR2015
Dirac Processes and Default Risk
Chris Kenyon, Andrew Green
q-fin.PR2014
KVA: Capital Valuation Adjustment
Andrew Green, Chris Kenyon
q-fin.PR2015
MVA: Initial Margin Valuation Adjustment by Replication and Regression
Andrew Green, Chris Kenyon
q-fin.CP2018
Deeply Learning Derivatives
Ryan Ferguson, Andrew Green
astro-ph.IM2012
AAO Observer Number 122 (August 2012)
Andrew Green
astro-ph.GA2015
The SAMI Galaxy Survey: Can we trust aperture corrections to predict star formation?
Samuel Nathan Richards, Julia Bryant, Scott Croom +21
q-fin.PR2012
CDS pricing under Basel III: capital relief and default protection
Chris Kenyon, Andrew Green
q-fin.PR2014
Regulatory-Compliant Derivatives Pricing is Not Risk-Neutral
Chris Kenyon, Andrew Green
q-fin.RM2013
Collateral-Enhanced Default Risk
Chris Kenyon, Andrew Green
astro-ph2001
MLAPM - a C code for cosmological simulations
Alexander Knebe, Andrew Green, James Binney