This paper proposes two numerical solutions based on product optimal quantization for the pricing of Bermudan options on foreign exchange rates.
Asia Risk Awards 2019
An efficient numerical partial differential equation approach for pricing foreign exchange interest rate hybrid derivatives
This paper discuss efficient pricing methods via a partial differential equation (PDE) approach for long-dated foreign exchange (FX) interest rate hybrids under a three-factor multicurrency pricing model with FX volatility skew.
Cross-gamma risks do not deter investors
Revival in power reverse dual currency notes thanks to Abenomic policies
What would happen if one of the world's largest investment banks pulled out of derivatives? Risk managers at Deutsche Bank and JP Morgan Chase are already building this scenario into their stress-tests, and regulators want other banks to do the same.