Iterating cancellable snowballs and related exotics

Cutting edge: Exotic options

This article proposes a valuation method for exotic cancellable and callable structures in a multi-factor Libor model. These structures are path-dependent in the sense that, after cancelling or calling, one cancels a sequence of cashflows or receives a sequence of cashflows in the future, respectively. The method combines a Monte Carlo improvement procedure for standard Bermudans developed and extended in Kolodko & Schoenmakers (2006) and Bender & Schoenmakers (2006), with popular approaches by

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Next-generation technologies and the future of trading

At a webinar in association with capital markets technology provider Numerix, panellists discuss the potential for increased adoption of the public cloud to boost investment performance, its impact on risk management and overcoming barriers to…

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