In its drive to widen its operational risk loss data capture, ORX has selected IBM and OpenPages' web-enabled systemZURICH - The operational risk loss data consortium for the financial services industry Operational Riskdata eXchange Association (ORX), has selected IBM and OpenPages to help transform and web-enable its operational risk loss data capture and analytic capabilities.
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In this paper, we clarify the relationships among popular methods for pricing European options based on the Fourier expansion of the payoff function (iFT method) and the simlified trapezoid rule.We suggest...
We develop efficient fast Fourier transform algorithms for pricing and hedging discretely sampled variance products and volatility derivatives under additive processes (time-inhomogeneous Lévy processes)....
Observing prices of European put and call options, we calibrate exponential Lévy models nonparametrically. We discuss the efficient implementation of the spectral estimation procedures for Lévy models...
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