Resources

In this article, we introduce a method for volatility computation from listed prices of American options on an underlying close to log-normal. 

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. 

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.

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.

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.

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.

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.

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.

In this article, we revisit the cross-currency LIBOR Market Model armed with the technique of Markovian projection.

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.

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.

In this paper authors Alexander Antonov and Han Lee present a discrete framework on event time grid for a cross-currency term structure modelling.