We present a flexible approach for the valuation of interest rate derivatives based on affine processes. We extend the methodology proposed in Keller-Ressel et al. (in press) by changing the choice of the state space. We provide semi-closed-form solutions for the pricing of caps and floors. We...

We provide analytic pricing formulas for Fixed and Floating Range Accrual Notes within the multifactor Wishart affine framework which extends significantly the standard affine model. Using estimates for three short rate models, two of which are based on the Wishart process whilst the third one...

In this paper we introduce a new criterion in order to measure the variance and covariance risks in financial markets. Unlike past literature, we quantify the (co)variance risk by comparing the spread between the initial wealths required to obtain the same final utility in an incomplete and...

In this paper, we present and discuss the estimation of the Wishart Affine Stochastic Correlation (WASC) model introduced in Da Fonseca et al. (2006) under the historical measure. We review the main estimation possibilities for this continuous time process and provide elements to show that the...

In this paper we measure the impact of variance and covariance risks in financial markets. In an asset allocation framework with stochastic (co)variances, we consider the possibility to invest not only in the risky assets but also in the variance swaps associated that are non redundant...

We price for different affine stochastic volatility models some derivatives that recently appeared in the market. These products are characterised by payoffs depending on both stock and its volatility. Using a Fourier-analysis approach, we recover in a much simpler way some results already...

In this paper we develop a novel market model where asset variances-covariances evolve stochastically. In addition shocks on asset return dynamics are assumed to be linearly correlated with shocks driving the variance-covariance matrix.Analytical tractability is preserved since the model is...

We present a flexible approach for the valuation of interest rate derivatives based on Affine Processes. We extend the methodology proposed in Keller-Ressel et al. (2009) by changing the choice of the state space. We provide semi-closed-form solutions for the pricing of caps and floors. We then...

We provide analytic pricing formulas for Fixed and Floating Range Accrual Notes within the multi-factor Wishart affine framework which extends significantly the standard affine model. Using estimates for three short rate models, two of which are based on the Wishart process whilst the third one...