Andersen's quadratic-exponential scheme is used for simulations of rough volatility models
Optimal transport theory offers a data-driven way to calibrate derivatives pricing models
Volatility models and SPX/VIX joint dynamics are calibrated using optimal transport theory
Dealers say CME, Cboe settlement time shift for S&P 500-linked options causes risk management headache
Benchmark shift would “fundamentally transform” popular rates structures, users fear
This paper proposes a new, flexible framework using Monte Carlo methods to price Parisian options not only with constant boundaries but also with general curved boundaries.
Value-at-risk in the European energy market: a comparison of parametric, historical simulation and quantile regression value-at-risk
This paper examines a set of value-at-risk (VaR) models and their ability to appropriately describe and capture price-change risk in the European energy market.
Dealers insist ‘it’s different’ as flat US curve revives bonds that sank the Street in 2008
Dominique Bang introduces a novel LSV approach to term distribution modelling