This paper presents a fine-tuning of some mapping functions used in the Equivalent Strike framework. This new approach provides an equivalent strike that is independent from the index base correlation. This feature is valuable when pricing very junior and senior tranches or when computing index...

This paper presents an Equity-IR hybrid model that fits in the class of affine diffusion processes. In the absence of cash dividend payment, the moment generating function can be easily and rapidly computed. This allows for an efficient calibration of the model based on Vanilla European Options...