Exotic options
Bounding Bermudans
Thomas Roos derives model-independent bounds for amortising and accreting Bermudan swaptions
Swap 4175: how a hedged loan became a €600m dispute
City of Linz v Bawag case underlines risks in municipal derivatives
Transform-based evaluation of prices and Greeks of lookback options driven by Lévy processes
The authors develop a technique, based on numerical inversion, to compute the prices and Greeks of lookback options driven by Lévy processes.
CVA with Greeks and AAD
Reghai, Kettani and Messaoud present new technique to calculate CVA using adjoints
Insurers testing exotics for Solvency II optimisation
Dealers tackle uncertainty over basis risk
Path-dependent volatility
Julien Guyon on path-dependent volatility models
The credit market – Still many opportunities
Sponsored video: Societe Generale
Local correlation families
Local correlation families
Filling the gaps
Filling the gaps
The value of a variance swap – a question of interest
Pricing equity variance swaps is well understood in the case of deterministic interest rates, but particularly for longer-dated swaps the stochastic nature of the rate cannot be ignored. Here, Per Hörfelt and Olaf Torné derive the fair strike when both…
Expanded smiles
Implementing models with stochastic as well as deterministic local volatility can be challenging. Here, Jesper Andreasen and Brian Huge describe an expansion approach for such models that avoids the high-dimensional partial differential equations usually…
Exploiting Japan's renegade repos
Japanese equities
Stock responses
Exotics
Introducing the consumption option
Sponsored Statement
Targeted hedging
Sponsored Statement
Sticky-strike and sticky-delta Greeks – casualties of the subprime crisis?
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The creative hedge
Equity derivatives
Maximum draw-down and directional trading
Maximum draw-down measures the worst drop in a market in a given time period. Jan Vecer shows how to price and replicate this event. Replication can be naturally linked to existing popular trading strategies, such as momentum or contrarian trading
Maximum draw-down and directional trading
Maximum draw-down measures the worst drop in a market in a given time period. Jan Vecer shows how to price and replicate this event. Replication can be naturally linked to existing popular trading strategies, such as momentum or contrarian trading
Variance swaps and non-constant vega
Variance swaps have gained in popularity due to their ability to provide investors with purevolatility exposure – a fairly stable gamma exposure despite changes in the value of theunderlying. The vega exposure of this product, however, varies linearly…