Credit Suisse quant talks about new paper on valuing quanto options
George Hong presents an analytical method for pricing quanto options
The author presents a comparison between maximal and daily average production of photovoltaic and wind energy based on a transmission system operator in Germany using statistical analysis with different seasonality functions.
This paper proposes a stochastic model for the maximal production of PV power on a daily basis, based on data from three transmission system operators in Germany.
Fabio Mercurio and Minqiang Li investigate CVAs in the presence of wrong-way risk
Trade of the month: Emerging markets underlyings
It is well known that the quanto adjustment in the drift of the underlying has a significant impact on the prices of quanto options. Alexander Giese points out that an additional quanto adjustment in the underlying’s volatility needs to be considered in…
An easy-to-hedge covariance swap