Ana Ponikvar is a model developer in counterparty exposure methodology team at UBS Investment bank. She has 6 years of experience working in financial services for Deutsche Bank, Accenture and in a major insurance company. She has experience developing pricing and stress testing models for vanilla and exotic products across SFTs and OTC derivatives, counterparty model validation and market risk model development.
Ana holds a MSc in Financial Mathematics from Cass Business School and MRes in Finance from Pompeu Fabra University.
This paper looks at the impact of compounding on zero-coupon bond prices by considering the short rate when it follows a Gaussian diffusion process or a stochastic volatility jump-diffusion process.