After Lehman default (credit crisis which started in 2007), practitioners considered the default risk as a major risk. The Industry began to charge for the default risk of any derivatives. In this article we try to extend the work of V.Piterbarg who established the fundamental of a new world in...

After Presenting the payoff, we will establish some methods to evaluate, hedge and risk manage the digital risk.This article is the first part of the answer. It is focus on the digital pricing and hedging

The Autocallable is a strutured product which involve payment of more or less exotic coupons until a callable event. The Digital risk at each coupon payment date induces hedge difficulties. Indeed, closer to the trigger event, the trader faces hedging difficulties at each fixing between the...

The correlation is a big modelling problem, "One of the most interesting in the Equity World". In the last decade, correlation products became very popular and attractive. The demand for a number of exotic products like dispersion trades, worst of, rainbows, correlation swaps, corridor option on...

In this paper, we proposed to present a no-academic model , the SPM, which perform a good 'perfect' calibration of the smile. Between the Black and Scholes and the Local Vol, the SPM was developed a decade ago. In the first part, we present the classic implementation then in a second part we...

After Lehman defaulted (credit crisis which started in 2007), practitioners considered the default risk as a major risk. The Industry began to charge for the default risk of any derivatives. In this article we try to extend the work of V.Piterbarg who established the fundamental of a new world...

The correlation after the subprime crisis 2007 became a major parameter. Most part of the time estimate historically, this parameter was free to the user. In the case of Multi Asset Multi factor stochastic model, some instantaneous correlation are not calibrated or very difficult to implied. In...

After Lehman collapse, Market participants started to consider the credit risk as a major risk. It become vital to charge the potential default of the counterparty at the trading level. The CVA became rapidly a standar when two institutions want to trade a derivative product. The main task of...