Technical paper/Gamma
Harvesting the FX skew premium
Observing the vol-of-vol parameter may reveal a skew premium in FX markets
The future of skew
Forward start volatility swaps and their pricing and hedging models are introduced
Chebyshev Greeks: smoothing gamma without bias
A numerical method to obtain stable deltas and gammas for complex payoffs is presented
Nonlinear risk decomposition for any type of fund
A risk decomposition by fund manager, factor or instrument is proposed
The cost of hedging XVA
HVA is framed consistently with other valuation adjustments
Impact of hedging strategies on variable annuities
Put options may reduce the cost of hedging strategies for insurers
Pricing multivariate barrier reverse convertibles with factor-based subordinators
In this paper, the authors study factor-based subordinated Lévy processes in their variance gamma (VG) and normal inverse Gaussian (NIG) specifications, and focus on their ability to price multivariate exotic derivatives.
Tail dependence in small samples: from theory to practice
In this paper, the authors study tail dependence by defining the conditions required for all the methods used to perform and to quantify their efficiency and accuracy.
Local variance gamma revisited
In this paper, the authors propose a new method of constructing volatility surfaces for foreign exchange options.
Further investigation of parametric loss given default modeling
The authors conduct a comprehensive study of some parametric models that are designed to fit the unusual bounded and bimodal distribution of loss given default (LGD).
On the application of spectral filters in a Fourier option pricing technique
When dealing with nonsmooth functions – such as a combination of a nonsmooth density and a payoff – spectral filters can be applied to deal efficiently with the so-called Gibbs phenomenon. The simplicity and effectiveness of classical filtering…
Fast gammas for Bermudan swaptions
Fast gammas for Bermudan swaptions
Cutting Edge introduction: viva cross-vegas
Viva cross-vegas
Cutting Edge introduction: requiem for a probabilist
Requiem for a probabilist
A better approach to operational risk aggregation
Professor Carol Alexander proposes an aggregation methodology that takes account of dependencies between op risk losses that have some common risk drivers.
Pricing liquidity into derivatives
Volatility