Most Recent Articles: Probability, Uncertainty and Quantitative Riskhttps://probability-risk.springeropen.comMost Recent Articles: Probability, Uncertainty and Quantitative RiskThe joint impact of bankruptcy costs, fire sales and cross-holdings on systemic risk in financial networkshttps://probability-risk.springeropen.com/articles/10.1186/s41546-017-0020-9The paper presents a comprehensive model of a banking system that integrates network effects, bankruptcy costs, fire sales, and cross-holdings. For the integrated financial market we prove the existence of a p...Mon, 26 Jun 2017 00:00:00 GMThttps://probability-risk.springeropen.com/articles/10.1186/s41546-017-0020-9Stefan Weber and Kerstin Weske2017-06-26T00:00:00ZCredit, funding, margin, and capital valuation adjustments for bilateral portfolioshttps://probability-risk.springeropen.com/articles/10.1186/s41546-017-0019-2We apply to the concrete setup of a bank engaged into bilateral trade portfolios the XVA theoretical framework of (Albanese and Crépey2017), whereby so-called contra-liabilities and cost of capital are charged b...Mon, 26 Jun 2017 00:00:00 GMThttps://probability-risk.springeropen.com/articles/10.1186/s41546-017-0019-2Claudio Albanese, Simone Caenazzo and Stéphane Crépey2017-06-26T00:00:00ZMeasure distorted arrival rate risks and their rewardshttps://probability-risk.springeropen.com/articles/10.1186/s41546-017-0021-8Risks embedded in asset price dynamics are taken to be accumulations of surprise jumps. A Markov pure jump model is formulated on making variance gamma parameters deterministic functions of the price level. Es...Mon, 26 Jun 2017 00:00:00 GMThttps://probability-risk.springeropen.com/articles/10.1186/s41546-017-0021-8Dilip B. Madan2017-06-26T00:00:00ZA brief history of quantitative financehttps://probability-risk.springeropen.com/articles/10.1186/s41546-017-0018-3In this introductory paper to the issue, I will travel through the history of how quantitative finance has developed and reached its current status, what problems it is called to address, and how they differ f...Mon, 05 Jun 2017 00:00:00 GMThttps://probability-risk.springeropen.com/articles/10.1186/s41546-017-0018-3Mauro Cesa2017-06-05T00:00:00ZBackward stochastic differential equations with Young drifthttps://probability-risk.springeropen.com/articles/10.1186/s41546-017-0016-5We show the well-posedness of backward stochastic differential equations containing an additional drift driven by a path of finite q-variation with q∈[1,2). In contrast to previous work, we apply a direct fixpoin...Mon, 05 Jun 2017 00:00:00 GMThttps://probability-risk.springeropen.com/articles/10.1186/s41546-017-0016-5Joscha Diehl and Jianfeng Zhang2017-06-05T00:00:00Z