Mathematical Foundations of Regression Methods for Approximating the Forward Initial Margin

Lucia Cipolina-Kun; Simone Caenazzo; Ksenia Ponomareva

doi:10.3905/jod.2022.30.2.127

Mathematical Foundations of Regression Methods for Approximating the Forward Initial Margin

Lucia Cipolina-Kun, Simone Caenazzo and Ksenia Ponomareva

The Journal of Derivatives Winter 2022, 30 (2) 127-140; DOI: https://doi.org/10.3905/jod.2022.30.2.127

Lucia Cipolina-Kun

is a PhD Candidate in the Department of Electrical and Electronic Engineering at the University of Bristol in Bristol, UK

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Simone Caenazzo

is a senior quant at Riskcare Ltd., Quantitative Analytics Team in London UK

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Ksenia Ponomareva

is a partner at Riskcare Ltd., Quantitative Analytics Team in London UK

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Mathematical Foundations of Regression Methods for Approximating the Forward Initial Margin

Lucia Cipolina-Kun, Simone Caenazzo, Ksenia Ponomareva

The Journal of Derivatives Nov 2022, 30 (2) 127-140; DOI: 10.3905/jod.2022.30.2.127

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Mathematical Foundations of Regression Methods for Approximating the Forward Initial Margin

Lucia Cipolina-Kun, Simone Caenazzo, Ksenia Ponomareva

The Journal of Derivatives Nov 2022, 30 (2) 127-140; DOI: 10.3905/jod.2022.30.2.127

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