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...

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...

After Lehman collapse, Market participants started to consider the credit risk as a major risk. It become vital to charge the potential default of the counterparty at the trading level. The CVA became rapidly a standar when two institutions want to trade a derivative product. The main task of...

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...

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,...

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...

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...