The recent troubles in the financial industry leads market participants to reconsider some strong pricing assumptions such as the completeness of the market (mathematically, there is not only one risk neutral probability, financially speaking all tradable asset can be replicated in different...

After Lehman default (credit crisis 2007), practitioners considered the default risk as a major risk. The regulators pushed the industry to use collateral in order to reduce the risk. In this new world, we want to see how this new considerations affect the theory related to the Partial...

After Lehman default (credit crisis which started in 2007), practitioners considered the default risk as a major risk. The Industry began to charge for the default risk of any derivatives. In this article we defined a methodology in order to fully adjusted the close out premium used to compute...

After Lehman default (credit crisis which started in 2007), practitioners considered the default risk as a major risk. The Industry began to charge for the default risk of any derivatives. In this article we try to extend the work of V.Piterbarg who established the fundamental of a new world in...

The correlation is a big modelling problem, "One of the most interesting in the Equity World". In the last decade, correlation products became very popular and attractive. The demand for a number of exotic products like dispersion trades, worst of, rainbows, correlation swaps, corridor option on...

After Lehman defaulted (credit crisis which started in 2007), practitioners considered the default risk as a major risk. The Industry began to charge for the default risk of any derivatives. In this article we try to extend the work of V.Piterbarg who established the fundamental of a new world...

Black and Scholes is an institution in quantitative finance. The main innovation was in the existence of a self financing portfolio which is able to replicate the (supposedly smooth) price process of a contingent claim.Clearly established as representation model via the market implied...

The definition seems clear. "A rogue trader is an employee authorised to make trades on behalf of his employer (subject to certain conditions) who makes unauthorised trades."But what does mean "subject to certain conditions"? In this paper, we tried to find a mathematical ground able to explain...

This note is the result of a discussion following the presentation by M. Jeanblanc, 'The Role of Information'. She referred to the impact of a world of 'extra-informed' market participant. As practitioners, we tend not to pay much attention to this consideration. Indeed, before Lehman defaulted,...

Following the previous works of Kamtchueng, we explain in more details, how to use the CVA Implied Volatility considering at the same time the netting arbitrage between a derivative and its hedging portfolio. Trough concrete pricing examples, we will demonstrate the advantages and the limitation...