Investec will use leading solutions provider to meet Basel II deadlines.South African investment bank Investec has chosen Reveleus to meet Basel II requirements. The bank, which provides financial services and products primarily for the UK, South Africa and Australia, will use Reveleus’ Basel II solution to compute regulatory capital for the Advanced Internal Ratings-Based (AIRB) approach under the revised accord once all of the risk parameters are available.
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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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