After Lehman default (credit crisis 2007), practitioners considered the default risk as a major risk. The regulators pushed the industry to use collateral in order to reduce the risk. In this new world, we want to see how this new considerations affect the theory related to the Partial...

After the default of Lehman Brother, the credit risk became a first concern. Following the Euro crisis, the regulators were pushy for clearing i.e. the market participants were forced via the regulatory capital constraints to go to the exchange or the central clearing house. It was the beginning...

Funding Valuation Adjustment (FVA) has been introduced as the CVA and DVA after the default of Lehman Brother. After the subprime crisis, the basis spread was not negligible anymore, credit and liquidity risk became the first concern. In addition, regulators put in place reforms, which associate...

It was upon a time, the Risk Neutral "pricing" world. Under this world every payoff actualised was a martingale. The industry became more and more complex but still managed to provide prices for exotics, indeed via a Monte Carlo Method almost everything was possible under this measure. After...

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 defined a methodology in order to fully adjusted the close out premium used to compute...

After Lehman default and the Euro Crisis (crisis which started mid-2007), the industry started to consider the funding risk as a major risk. The practitioners began to charge for their funding cost. In this stressed context, the FVA has been the subject of intense debate, even its definition is...

Black and Scholes is an institution in quantitative finance. The main innovation was in the existence of a self financing portfolio which is able to replicate the (supposedly smooth) price process of a contingent claim.Clearly established as representation model via the market implied...

The definition seems clear. "A rogue trader is an employee authorised to make trades on behalf of his employer (subject to certain conditions) who makes unauthorised trades."But what does mean "subject to certain conditions"? In this paper, we tried to find a mathematical ground able to explain...

The rationale behind clearing in financial markets is twofold: clearing houses are aimed at reducing the vulnerability to systemic risks and at changing the allocation of default risk in financial markets and, thus, improve the efficiency of financial markets. This paper mitigates the standard...

During the first decades following Black and Scholes, the quantitative finance have been focus mainly on the modeling of the volatility. Indeed, the expansion of derivatives product brought some liquidity regarding this parameter. The implied volatility is the reflect of market convention for...