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Quadratic model

Banking

An end to replication

Convexity adjustments can be valued with an analytical formula, avoiding replication arguments

05 May 2021

Convexity

calculation

Markets

Quantized calibration in local volatility

31 Mar 2015

standing out

Structured products

Hybrid smiles made fast

25 Jul 2013

An eye in close-up superimposted by a screen of random numbers

Risk management

Cutting Edge introduction: Computation, computation, computation

06 Sep 2012

inflation-road-sign

Inflation markets

Quadratic Gaussian inflation

Quadratic Gaussian inflation

03 Sep 2012

Infrastructure

Black-Scholes goes hypergeometric

Option pricing models

01 Dec 2001

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