In this paper, we consider non-uniform grids to solve PDE. We derive the theta-scheme algorithm based on finite difference methods and show its consistency. We then apply it to different option pricing problems

In this paper, we consider 2D option pricing. Most of the problems come from the fact that only few closed-form formulas are available. Numerical algorithms are also necessary to compute option prices. This paper examines some topics on this subject

Capital allocation within a bank is getting more important as the regulatory requirements are moving towards economic-based measures of risk. Banks are urged to build sound internal measures of credit and market risks for all their activities. Internal models for credit, market and operational...

The purpose of this paper is to analyse different implications of the stochastic behavior of asset prices volatilities for option hedging purposes. We present a simple stochastic volatility model for option pricing and illustrate its consistency with financial stylized facts. Then, assuming a...

This article is part of a comprehensive research project on liquidity risk in asset management, which can be divided into three dimensions. The first dimension covers the modeling of the liability liquidity risk (or funding liquidity), the second dimension is dedicated to the modeling of the...

In this paper, we examine the materiality of ESG on country creditworthiness from a credit risk and fundamental analysis viewpoint. To address this, we consider a granular set of 269 indicators within the three ESG pillars to determine what the sovereign bond market is pricing in. From this set...

"Developed over 20 years of teaching academic courses, the Handbook of Financial Risk Management can be divided into two main parts: risk management in the financial sector; and a discussion of the mathematical and statistical tools used in risk management. This comprehensive text offers readers...

[eng] A Return to Average Rates in the European Exchange Rate Mechanism: 1987-1995 by Jean Sébastien Pentecôte and Thierry Roncalli . This paper studies the effect of the return to average daily rates for the European Exchange Rate Mechanism currencies and the dollar against the deutschemark...

Although portfolio management didn’t change much during the 40 years after the seminal works of Markowitz and Sharpe, the development of risk budgeting techniques marked an important milestone in the deepening of the relationship between risk and asset management. Risk parity then became a...