In this document we consider the problem of deriving volatilities of non-standard tenors given quotes for standard tenors. Especially, we aim to derive volatilities for caps and swaptions from given quotes for a short tenor, for instance 3m, and derive volatilties for a longer tenor, for...

We consider a stochastic volatility model with stochastic interest rates for pricing (long dated) equity derivatives. The stochastic volatility is modelled using a Heston model and the short rate is modelled by an Ornstein-Uhlenbeck process which is in this context known as the Hull-White model....

We consider the derivation of generic Monte Carlo estimators for Greeks for (path-dependent) options with discontinuous payoffs in the case where only the characteristic function is known. In Kienitz (2008) we have shown how to derive such Greeks for a wide range of models under the assumption...

In this paper we present a method to derive generic Monte Carlo estimators for the Greeks for jump diffusion and other Levy processes. For instance we consider models of Merton type and Levy processes obtained by subordinating a Brownian Motion. We use proxy schemes introduced by Fries and...

This paper proposes a data-driven approach, by means of an Artificial Neural Network (ANN), to value financial options within the setting of interest rate term structure models. This aims to accelerate existing numerical methods which is important for applications like historical VaR or exposure...

Considering the current interest rate environment it has become necessary to extend option pricing models for 0 and negative strikes. We consider the recently proposed free boundary SABR model, Antonov A., Konikov, M., and Spector, M. (2015). In their paper the authors provide a pricing formula...

We consider the pricing of Caps and Floors on CMS baskets in term structure models. To this end we shortly review CMS indices and the market for financial products based on these indices.Having specified the financial products we review two popular Stochastic Volatility Libor Market Model...

We introduce a data driven and model free approach for computing conditional expectations. The new method is based on classical techniques combined with machine learning methods. In particular, we consider kernel density estimation based on simulated risk factors combined with a control variate....

We introduce a data driven and model free approach for computing conditional expectations. The new method combines Gaussian Mean Mixture models with classic analytic techniques based on the properties of the Gaussian distribution. We also incorporate a proxy hedge that leads to analytic...

In this paper we discuss how to incorporate analytic boundary conditions into a Monte-Carlo simulation framework and discuss their applications. The method introduced can dramatically improve the stability, robustness and accuracy of the valuation, calculation of sensitivities and stress...