HSBC quant makes case for looking at collateral and funding rates in concert
The authors design and solve an extended structural model that accommodates arbitrary Lévy dynamics for the underlying firm’s asset value, realistic debt payment schedules, multiple seniority classes and various intangible assets.
Mini-futures need to be priced and hedged taking sudden jumps into account
This paper looks at the impact of compounding on zero-coupon bond prices by considering the short rate when it follows a Gaussian diffusion process or a stochastic volatility jump-diffusion process.
Has the problem of jointly calibrating the volatility smiles of the Vix and S&P 500 been solved?
Tsz-Kin Chung and Jon Gregory calibrate wrong-way risk with the help of quanto CDS values
This paper analyzes the efficiency of hedging strategies for stock options in the presence of jump clustering.
In this paper, the authors develop a procedure to reduce the variance when numerically computing the Greeks obtained via Malliavin calculus for jump–diffusion models with stochastic volatility.
This paper considers the problem of European option pricing in the presence of a proportional transaction cost when the price of the underlying follows a jump–diffusion process.
This paper models the evolution of the oil price as a mean-reverting regime-switching jump–diffusion process.
Research on equity release mortgage risk diversification with financial innovation: reinsurance usage
This paper examines the risk diversification of ERMs via the reinsurance strategy.
This paper employs the fractional fast Fourier transform to calibrate parameters in an optimization setup.
Efficient solution of backward jump-diffusion partial integro-differential equations with splitting and matrix exponentials
A unified approach for solving jump-diffusion partial integro differential equations is proposed.
Valer Zetocha introduces a correlation model based on the Jacobi process with jumps
The stochastic-volatility, jump-diffusion optimal portfolio problem with jumps in returns and volatility
The risk-averse optimal portfolio problem is treated with consumption in continuous time for a stochastic jump-volatility-jump-diffusion (SJVJD) model for both the risky asset and the volatility.
Perturbing the smile