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Comparing some alternative Lévy base correlation models for pricing and hedging CDO tranches
Masol, Viktoriya; Schoutens, Wim - 2008
Persistent link: https://www.econbiz.de/10003709746
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Machine Learning for Quantitative Finance : Fast Derivative Pricing, Hedging and Fitting
De Spiegeleer, Jan - 2018
of vanilla option values under advanced models, the pricing of American options and the pricing of exotic options under …
Persistent link: https://www.econbiz.de/10012917368
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Machine learning for quantitative finance : fast derivative pricing, hedging and fitting
De Spiegeleer, Jan; Madan, Dilip B.; Reyners, Sofie; … - In: Quantitative finance 18 (2018) 10, pp. 1635-1643
Persistent link: https://www.econbiz.de/10012259802
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Applied conic finance
Madan, Dilip B.; Schoutens, Wim - 2016
numerous real-world applications, including portfolio theory, option positioning, hedging, and trading contexts. This book …-world applications, including portfolio theory, option positioning, hedging, and trading contexts. This book offers a quantitative and …
Persistent link: https://www.econbiz.de/10013547026
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Fast valuation and calibration of credit default swaps under Lévy dynamics
Fang, Fang; Jönsson, Henrik; Oosterlee, Cornelis W.; … - In: The journal of computational finance 14 (2010/11) 2, pp. 57-86
Persistent link: https://www.econbiz.de/10008810136
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Heston Model : The Variance Swap Calibration
Guillaume, Florence - 2013
This paper features a market implied methodology to infer adequate starting values for the spot and long run variances and for the mean reversion rate of a calibration exercise under the Heston model. More particularly, these initial parameters are obtained by matching the term structure of the...
Persistent link: https://www.econbiz.de/10013082948
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On the Pricing of Capped Volatility Swaps using Machine Learning Techniques
Höcht, Stephan; Schoutens, Wim; Verschueren, Eva - 2023
predetermined period of time. This paper presents data-driven machine learning techniques for pricing such capped volatility swaps …
Persistent link: https://www.econbiz.de/10014353923
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Fast Valuation and Calibration of Credit Default Swaps Under Levy Dynamics
Fang, Fang - 2010
/default probabilities and pricing Credit Default Swaps under advanced jump dynamics. We have chosen to use the firm's value approach … barrier and it is therefore possible to exploit a numerical technique developed to price barrier options under\levy\models to …
Persistent link: https://www.econbiz.de/10013141952
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Pricing Constant Maturity Credit Default Swaps Under Jump Dynamics
Jönsson, Henrik - 2010
In this paper we discuss the pricing of Constant Maturity Credit Default Swaps (CMCDS) under single sided jump models …
Persistent link: https://www.econbiz.de/10013141953
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Pricing and hedging of CDO-squared tranches by using a one factor Lévy model
Guillaume, Florence; Jacobs, Philippe; Schoutens, Wim - In: International journal of theoretical and applied finance 12 (2009) 5, pp. 663-685
Persistent link: https://www.econbiz.de/10003899503