In this paper we formulate the Risk Management Control problem in the interest rate area as a constrained stochastic portfolio optimization problem. The utility that we use can be any continuous function and based on the viscosity theory, the unique solution of the problem is guaranteed. The...

In this paper, we propose an easy-to-use yet comprehensive model for a system of cointegrated commodity prices. While retaining the exponential affine structure of previous approaches, our model allows for an arbitrary number of cointegration relationships. We show that the cointegration...

We present a Graphics Processing Unit (GPU) parallelization of the computation of the price of exotic cross-currency interest rate derivatives via a Partial Differential Equation (PDE) approach. In particular, we focus on the GPU-based parallel pricing of long-dated foreign exchange (FX)...

We present a highly efficient parallelization of the computation of the price of exotic cross-currency interest rate derivatives with path-dependent features via a Partial Differential Equation (PDE) approach. In particular, we focus on the parallel pricing on Graphics Processing Unit (GPU)...

The current method employed by the Johannesburg Stock Exchange (JSE) to determine implied volatility is based on trade data and a linear deterministic approach. The aim of this paper is to construct a market-related arbitrage-free implied volatility surface, by using a quadratic deterministic...

We discuss efficient pricing methods via a Partial Differential Equation (PDE) approach for long dated foreign exchange (FX) interest rate hybrids under a three-factor multi-currency pricing model with FX volatility skew. The emphasis of the paper is on Power-Reverse Dual-Currency (PRDC) swaps...

This paper presents an extensive test of the Libor Market on the Euro Cap and Swaption market. The deterministic LIBOR market model prices OTC cap exactly and prices OTC swaptions with errors well below two basis points. Tests for the hedging performance show that the deterministic LIBOR market...

We present a Graphics Processing Unit (GPU) parallelization of the computation of the price of cross-currency interest rate derivatives via a Partial Differential Equation (PDE) approach. In particular, we focus on the GPU-based parallel computation of the price of long-dated foreign exchange...

We examine the impact of interest rates benchmark reform and upcoming Libor transition on options markets. We address various modelling challenges the transition brings. We specifically focus on the impact of the clearing houses' discounting switch on swaptions, and the consequences of Libor...

We consider an agent who takes a short position in a contingent claim and employs limit orders (LOs) and market orders (MOs) to trade in the underlying asset to maximize expected utility of terminal wealth. The agent solves a combined optimal stopping and control problem where trading has...