Polish Academy of Sciences
Dariusz Gątarek is a graduate in applied mathematics from the Warsaw University of Technology. Dariusz spent twenty years in many financial and advisory institutions as BRE Bank, Societe Generale, Glencore, UniCredit, Deloitte and NumeriX specializing in in valuing derivatives and designing risk management systems, currently he is working as professor at the Polish Academy of Sciences. Dariusz has published a number of articles on financial modelling, his paper ‘The market model of interest rate dynamics’, with Brace and Musiela, is regarded as a classic. He is a frequent speaker at conferences worldwide.
This paper proposes a nonparametric local volatility Cheyette model and applies it to pricing interest rate swaptions.
This paper presents a simple model for joint defaults and shows how it can be applied to pricing and risk-managing instruments that are sensitive to credit correlation.