Warsaw University and National Bank of Poland
Juliusz Jabłecki is Assistant Professor of Finance at University of Warsaw, Poland, as well as head of Monetary Policy Analysis Team at Narodowy Bank Polski, Poland's central bank. Prior to joining the central bank he worked as risk management expert for Bank Pekao, part of Unicredit Group. Juliusz has published numerous works in important academic and professional outlets, including Risk, Journal of Derivatives, Journal of Credit Risk. He is the co-author of "Volatility as an Asset Class: Obvious Benefits and Hidden Risks" (2015). His interests include pricing, interest rate modeling, volatility and risk management. Juliusz holds a Ph.D. in economics from the University of Warsaw.
This paper seeks to contribute a simple and (almost) model-free way of assessing the economic value of the Bermudan exercise right derived from a “minimal” local volatility enhanced interest rate model.
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.