A credit-linked note (CLN) on a tranche of the CDX index (partially) protects the holder against default losses in that tranche. The holder receives a specified redemption amount at note maturity. The note is priced using market spread quotes for a matching CDS on this tranche

A callable leveraged constant maturity swap (CMS) spread note allows the holder to benefit from future changes in the spread between two swap interest rates. The issues retains the right to call the note at pre-specified times in the future. The note is priced via Monte Carlo simulation using...

This contribution deals with options on assets which pay cash dividends. Pricing methods which consider discrete dividends are usually computationally expensive; a first purpose of this paper is to study efficient and accurate numerical procedures which yield consistent prices for both European...

We present a robust method for simulating an increment of a Levy process, based on decomposing the jump part of the process into the sum of its positive and negative jump components. The characteristic exponent of a spectrally one-sided Levy process has excellent analytic properties, which we...

It is often argued that Quasi-Monte Carlo Methods (QMC ) only work for problems of low effective dimension that encompass most of financial problems. We will show here some evidence that, with the Sobol construction, they can be suited for problems with high effective dimension in the truncation...

In the present paper we fill an essential gap in the Convertible Bonds pricing world by deriving a Binary Tree based model for valuation subject to credit risk. This model belongs to the framework known as Equity to Credit Risk. We show that this model converges in continuous time to the model...

We examine the pricing of variance swaps and some generalizations and variants such as self-quantoed variance swaps, gamma swaps, skewness swaps and proportional variance swaps.We consider the pricing of both discretely monitored and continuously monitored versions of these swaps when the...

A numerical approach for option pricing is proposed which is based on the use of the repeated Richarsdon extrapolation procedure along the price variable. Such a technique, which is applied in conjunction with the classical (centered) three-point finite difference scheme, is tested on two...

Reformulating the results of del Baño Rollin, Ferreiro-Castilla, and Utzet (2010), we are able to give necessary and sufficient conditions for the moments of the stock price to exist and extend Theorem 2.1 of Forde and Jacquier (2011). Precisely Forde and Jacquier (2011) provide necessary...

We introduce two new methods to calculate bounds for zero-sum game options using Monte Carlo simulation. These extend and generalise the duality results of Haugh-Kogan/Rogers and Jamshidian to the case where both parties of a contract have Bermudan optionality. It is shown that the...