Hybrid smiles made fast
Most independent financial advisers are still unprepared for the implementation of the FSA's Retail Distribution Review, according to market participants
Which model for equity derivatives?
Being particular about calibration
A historical-parametric hybrid VAR
Hybrid structures are increasingly popular in Malaysia as investors look to keep the cost of hedging down and moving away from capital protected products
Pricing equity variance swaps is well understood in the case of deterministic interest rates, but particularly for longer-dated swaps the stochastic nature of the rate cannot be ignored. Here, Per Hörfelt and Olaf Torné derive the fair strike when both...
Counterparty risk under correlation is relatively unexplored in the financial literature. Damiano Brigo and Andrea Pallavicini extend previous analysis beyond swap portfolios. A stochastic-intensity jump-diffusion model is adopted for the default event,...
In response to the above article, the authors argue that pure firm-value approaches to default prediction are fundamentally flawed.?