Marco Bianchetti

pricing interest rate derivatives crisis lppl bremain jls fit odds bubble genetic algorithm log-periodic oscillation polls forecast brexit crash calibration super-exponential referendum ue uk historical series johansen-ledoit-sornette fair value prudent value prudent valuation crr monte carlo global sensitivity analysis quasi monte carlo sobol low discrepancy finance quanto adjustment forward curve counterparty risk basis adjustment basis swaps discount curve quantlib yield curve measure changes swaptions swaps hedging no arbitrage caps fras floors liquidity