Advanced FX Hedging Strategies (and what NOT to do): A Case Study
Learn advanced FX hedging strategies and what is most effective.
Algorithmic Exposure and CVA for Exotic Derivatives
In this article, we develop the algorithmic approach for Counterparty exposure calculation and automate its application to arbitrary complicated instruments.
Capturing Stochastic Volatility: Key to Trading Inflation Derivatives
Modeling the smile and capturing the stochastic nature of volatility has become critically important for inflation derivatives trading.
Analytical Approximations for Short Rate Models
In this article, we present the analytical approximation of zero-coupon bonds and swaption prices for general short rate models.
Bates Model and Cliquet Pricing in Numerix
Bates stochastic volatility jump-diffusion model is the market standard model for pricing exotic options that depend heavily on the forward skew, such as cliquets and other forward-starting trades.
Generalized Vanna-Volga Method and Its Applications
In this article, we give a general treatment of the Vanna-Volga mark-to-market volatility smile correction in application to pricing of contracts with European exercise on a single underlying.
Decoupled American Option Pricing Method: Computation of Implied Volatilities and Further Applications
In this article, we introduce a method for volatility computation from listed prices of American options on an underlying close to log-normal.
Dynamic Model for Pricing and Hedging Heterogenous CDOs
In this article, we present a simple bottom-up dynamic credit model that can be calibrated simultaneously to the market quotes on CDO tranches and individual CDSs constituting the credit portfolio.
Analytical Formulas for Pricing CMS Products in the LMM with Stochastic Volatility
In this paper, we develop a series of approximations for a fast analytical pricing of European constant maturity swap (CMS) products, such as CMS swaps, CMS caps/floors, and CMS spread options, for the LIBOR Market Model (LMM) with stochastic volatility.
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Projection on a Quadratic Model by Asymptotic Expansion with an Application to LMM Swaption
In this article, we develop a technique of parameter averaging and Markovian projection on a quadratic volatility model based on a term-by-term matching of the asymptotic expansions of option prices in volatilities.
Markovian Projection to a Displaced Volatility Heston Model
In this article, we generalize the results of Markovian Projection onto a Heston model to a wider class of approximating models, a Heston model with displaced volatility.
Two-Dimensional Markovian Model for Dynamics of Aggregate Credit Loss
In this article, we propose a new model for the dynamics of the aggregate credit portfolio loss. The model is Markovian in two dimensions with the state variables being the total accumulated loss Lt and the stochastic default intensity λt.
Markovian Projection onto a Displaced Diffusion
In this paper, we develop a systematic approach to Markovian projection onto an effective displaced diffusion, and work out a set of computationally efficient formulas valid for a large class of non-Markovian underlying processes.
Markovian Projection Onto a Heston Model
In this article, we develop a systematic approach to the reduction of dimensionality of smile-enabled models by projecting them onto a displaced version of the two-dimensional Heston process.
Efficient Calibration to FX Options by Markovian Projection in Cross-Currency LIBOR Market Models
In this article, we revisit the cross-currency LIBOR Market Model armed with the technique of Markovian projection.
Overlapping Credit Portfolios
In this article, we present an accurate analytical approximation for a joint distribution function of loss of two overlapping credit portfolios using the multidimensional saddlepoint method.
Analytical Techniques for Synthetic CDOs and Credit Default Risk Measures
In this article, we present pricing and risk management of synthetic CDOs and risk management of credit portfolios are closely related problems as both require modeling of the same distribution of portfolio loss.
Interest Rate Modelling Framework in Discrete Rolling Spot Measure
In this paper authors Alexander Antonov and Han Lee present a discrete framework on event time grid for a cross-currency term structure modelling.