It has been recently shown that spot volatilities can be very well modeled by rough stochastic volatility type dynamics. In such models, the log-volatility follows a fractional Brownian motion with Hurst parameter smaller than 1/2. This result has been established using high frequency volatility...

In commodity and energy markets swing options allow the buyer to hedge against futures price fluctuations and to select its preferred delivery strategy within daily or periodic constraints, possibly fixed by observing quoted futures contracts. In this paper we focus on the natural gas market and...

The price of a CMS based derivative is largely affected by the value of swaption volatilities at extreme strikes. In this article, we propose a very simple procedure for stripping consistently implied volatilities and CMS adjustments from the market quotes of swaption smiles and CMS swap spreads

In this article, we propose a simple interest rate model, which can well accommodate swaption smiles, while recovering market prices of CMS swap spreads. The model is based on a (possibly multi-factor) Gaussian short rate model coupled with parameter uncertainty. Examples of calibration to real...

Quantization algorithms have been recently successfully adopted in option pricing problems to speed up Monte Carlo simulations thanks to the high convergence rate of the numerical approximation. In particular, recursive marginal quantization has been proven a flexible and versatile tool when...

Valuation adjustments are nowadays a common practice to include credit and liquidity effects in option pricing. Funding costs arising from collateral procedures, hedging strategies and taxes are added to option prices to take into account the production cost of financial contracts so that a...