In this paper, we introduce two mixing fractions that can be controlled separately to apply impact to the volatility-of-volatility and the correlation in a lognormal LSV model.
A new technique for pricing exotic options unifies two classic models
This paper provides an efficient and accurate hybrid method to price American standard options in certain jump-diffusion models and American barrier-type options under the Black–Scholes framework.
Spreads on ‘worst-of’ bonds leap 50% as some dealers retreat and others pile on hedges
Dividend-related losses at BNP Paribas may be higher than previously reported
Structured trades go on the block following last month's sale of flow and prime broking assets
An estimated $60 billion of structured notes are at risk of being called before year-end
Flatter US yield curve spurs demand for a product with a painful history
Dealers insist ‘it’s different’ as flat US curve revives bonds that sank the Street in 2008
Hedging headaches force issuers to seek new structured product blockbusters
Dealers caught in danger zone as losses lurk on upside and downside spikes
In this paper, the authors give a preprocessing step for Fourier methods that involves projecting the Green’s function onto the set of linear basis functions.
Rivals say French dealer grew business too quickly – with leveraged version of Korean index one source of pain
In this paper, the authors present a new approach to bounding financial derivative prices in regime-switching market models from both above and below.
Quants propose faster technique for Simm-MVA based on algorithmic differentiation
StanChart quant proposes new technique to compute MVA quicker
Deep learning techniques are being explored by the quants to speed up exotics pricing
SocGen quants propose technique to more accurately calibrate exotic options
Thomas Roos derives model-independent bounds for amortising and accreting Bermudan swaptions
City of Linz v Bawag case underlines risks in municipal derivatives
The authors develop a technique, based on numerical inversion, to compute the prices and Greeks of lookback options driven by Lévy processes.
Reghai, Kettani and Messaoud present new technique to calculate CVA using adjoints
Dealers tackle uncertainty over basis risk
Julien Guyon on path-dependent volatility models