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FX Volatility Smile Construction
The foreign exchange options market is one of the largest and most liquid OTC derivative markets in the world. Surprisingly, very little is known in the academic literature about the construction of the most important object in this market: The implied volatility smile.
Wed 27 Nov 2024
Callable Swaps, Snowballs, and Videogames
Although economically more meaningful than the alternatives, short rate models have been dismissed for financial engineering applications in favor of market models as the latter are more flexible and best suited to cluster computing implementations.
Fri 18 Oct 2024
Multivariate Smiling
The paper presents an application of the Variance-Gamma distribution to price multivariate derivatives. The paper focuses on the practical implementation of the model in a multivariate setting.
Sat 5 Oct 2024
Fast Estimation of American Bond Option Prices
This paper presents a fast way to approximate prices of American bond options by Monte Carlo simulation.
Thu 12 Sep 2024
The Importance of being Global. Application of Global Sensitivity Analysis in Monte Carlo Option Pricing
Monte Carlo and Quasi Monte Carlo methods for pricing European and Asian call options are compared.
Sun 1 Sep 2024
Pricing with Jump Signals in the PDE Framework
In this paper we discuss the practical implementation of jump models in a partial differential equation framework for pricing derivatives under a known and unknown number of jumps, regime changes, and reorganization.
Sat 17 Aug 2024
Steering a Bank Around a Death Spiral: Multiple Trigger CoCos
In this paper we start with the introduction of two pricing models to value contingent convertibles. One model (“rule of thumb”) has its roots in credit derivatives pricing while the second model implements an equity derivatives approach.
Fri 26 Jul 2024
Calculating Value-at-Risk Using Option Implied Probability Distribution of Asset Price
In this article, the author uses the probability distribution of asset prices extracted from option prices to get the VaR of a portfolio using Monte-Carlo method.
Fri 10 May 2024
American π: Piece of Cake?
Textbooks tell you that pricing an American option in the context of the binomial model is a lot easier than it sounds. Is it really simple and obvious? Yes…and no.
Wed 21 Feb 2024
The Heston–Hull–White Model Part II: Numerics and Examples
In this article, the authors review the methods for pricing European options using the Heston-Hull-White model.
Wed 15 Nov 2023
