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Risk.net

Risk.net

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Risk management, regulation, and derivatives—core to treasury and CFO risk oversight.

Recent Posts

Fast Calculation of Cheapest-to-Deliver Curves
News•Feb 19, 2026

Fast Calculation of Cheapest-to-Deliver Curves

Multi‑currency collateral agreements create optionality that requires discounting with a cheapest‑to‑deliver (CTD) curve. While Monte‑Carlo simulation can price this exactly, it is computationally heavy. Researchers propose an analytic approximation that combines the Clark algorithm and Gauss‑Hermite quadrature, delivering near‑Monte‑Carlo accuracy with far lower runtime. The method scales to any number of currencies and has been validated across realistic market scenarios.

By Risk.net
Strong Order-One-Half Convergence of the Projected Euler–Maruyama Method for the Cox–Ingersoll–Ross Model
News•Feb 19, 2026

Strong Order-One-Half Convergence of the Projected Euler–Maruyama Method for the Cox–Ingersoll–Ross Model

The paper proves that the projected Euler–Maruyama scheme attains Lp‑strong convergence of order one‑half for the Cox–Ingersoll–Ross (CIR) model. By integrating a projection step with the normalized error framework, the authors broaden the parameter space where the convergence guarantee holds....

By Risk.net