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A semi-static replication approach to efficient hedging and pricing of callable IR derivatives
We show, taking as an example Bermudan swaptions, that callable interest rate derivatives can be replicated with an options portfolio written on a basket of discount bonds.
Uncovering the mesoscale structure of the credit default swap market to improve portfolio risk modelling
However, at a more general level the presence of mesoscopic structure might be revealed in an entirely data-driven approach, looking for a modular and possibly hierarchical organisation of the empirical correlation matrix between financial time series.
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