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A STOCHASTIC VOLATILITY MODEL FOR RISK-REVERSALS IN FOREIGN EXCHANGE

ALBANESE, CLAUDIO; MIJATOVIĆ, ALEKSANDAR - In: International Journal of Theoretical and Applied … 12 (2009) 06, pp. 877-899

It is a widely recognized fact that risk-reversals play a central role in the pricing of derivatives in foreign exchange markets. It is also known that the values of risk-reversals vary stochastically with time. In this paper we introduce a stochastic volatility model with jumps and local...

Persistent link: https://www.econbiz.de/10008474825

Implied migration rates from credit barrier models

Albanese, Claudio; Chen, Oliver X. - In: Journal of banking & finance 30 (2006) 2, pp. 607-626

Persistent link: https://www.econbiz.de/10005878625

Small transaction cost asymptotics and dynamic hedging

Albanese, Claudio; Tompaidis, Stathis - In: European journal of operational research : EJOR 185 (2008) 3, pp. 1404-1414

Persistent link: https://www.econbiz.de/10007895500

HYBRIDS Pricing equity default swaps - The authors discuss the challenges of pricing equity default swaps, a credit-equity hybrid product. The uncertainty about what the right pricing framework should be gives rise to substantial model risk.

Albanese, Claudio; Chen, Oliver - In: Risk : managing risk in the world's financial markets 18 (2005) 6, pp. 83-88

Persistent link: https://www.econbiz.de/10007022575

HYBRIDS - Pricing equity default swaps - The authors discuss the challenges of pricing equity default swaps, a credit equity hybrid product. The uncertainty about what the right pricing framework should be gives rise to substantial model risk.

Albanese, Claudio; Chen, Oliver - In: Risk : managing risk in the world's financial markets 18 (2005) 6, pp. 83-88

Persistent link: https://www.econbiz.de/10007022881

Option pricing - Unifying volatility models - The authors introduce a method of building analytically tractable option pricing models that combine state-dependent volatility, stochastic volatility and jumps

Albanese, Claudio; Kuznetsov, Alexey - In: Risk : managing risk in the world's financial markets 17 (2004) 3, pp. 94-98

Persistent link: https://www.econbiz.de/10007028440

Credit derivatives: Credit barrier models The authors construct an analytic credit barrier model driven by credit ratings, constrained to fit the term structure of credit spreads.

Albanese, Claudio; Campolieti, Giuseppe; Chen, Oliver; … - In: Risk : managing risk in the world's financial markets 16 (2003) 6, pp. 109-114

Persistent link: https://www.econbiz.de/10007031667

Option pricing models: Black-Scholes goes hypergeometric - The authors introduce a general pricing formula that extends Black-Scholes and contains as particular cases most analytically solvable models in the literature, including the quadratic and the constant elasticity of variance models for European-style and barrier options.

Albanese, Claudio; Campolieti, Giuseppe; Carr, Peter; … - In: Risk : managing risk in the world's financial markets 14 (2001) 12, pp. 99-124

Persistent link: https://www.econbiz.de/10007040151

Models - Towards a global valuation model - Banks use a variety of pricing models across business lines, creating discrepancies in the way various financial instruments are priced. But developments in high-throughput computing could lead to the possibility of a global valuation model.

Albanese, Claudio; Gimonet, Guillaume; White, Steve - In: Risk : managing risk in the world's financial markets 23 (2010) 5, pp. 68-72

Persistent link: https://www.econbiz.de/10008420229

Affine lattice models

Albanese, Claudio; Kuznetsov, Alexey - In: International journal of theoretical and applied finance 8 (2005) 2, pp. 223-238

Persistent link: https://www.econbiz.de/10002679567