Multi Currency Local Volatility Model

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Multi-Currency Local Volatility Model

Author : Daniel Alexandre Bloch
Publisher :
ISBN 13 :
Total Pages : 37 pages
Book Rating : 4.:/5 (129 download)

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Book Synopsis Multi-Currency Local Volatility Model by : Daniel Alexandre Bloch

Download or read book Multi-Currency Local Volatility Model written by Daniel Alexandre Bloch and published by . This book was released on 2008 with total page 37 pages. Available in PDF, EPUB and Kindle. Book excerpt: We establish the need for local volatility coupled with domestic and foreign stochastic interest rates to properly manage some exotic hybrid options. We then compute such a local volatility and identify a bias with respect to the local volatility with deterministic rates. Performing variance-covariance analysis on the logarithm of the underlying price together with the domestic and foreign spot rates we estimate that bias by calculating the variances of the logarithm of the underlying price with and without stochastic rates at fixed points in time and in space. Equating the resulting variances we express the local volatility with stochastic rates in terms of the one with deterministic rates plus a bias obtaining an exact, fast and robust way of calibrating any local volatility with stochastic rates to market prices. We calculate it by using a bootstrapping method requiring solving a quadratic equation at each maturity and strike and present results on the Japanese market.

An Affine Multi-Currency Model with Stochastic Volatility and Stochastic Interest Rates

Author : Alessandro Gnoatto
Publisher :
ISBN 13 :
Total Pages : 43 pages
Book Rating : 4.:/5 (13 download)

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Book Synopsis An Affine Multi-Currency Model with Stochastic Volatility and Stochastic Interest Rates by : Alessandro Gnoatto

Download or read book An Affine Multi-Currency Model with Stochastic Volatility and Stochastic Interest Rates written by Alessandro Gnoatto and published by . This book was released on 2014 with total page 43 pages. Available in PDF, EPUB and Kindle. Book excerpt: We introduce a tractable multi-currency model with stochastic volatility and correlated stochastic interest rates that takes into account the smile in the FX market and the evolution of yield curves. The pricing of vanilla options on FX rates can be performed efficiently through the FFT methodology thanks to the affinity of the model. A joint calibration exercise of the implied volatility surfaces of a triangle of FX rates shows the flexibility of our framework in dealing with the typical symmetries that characterize the FX market. Our framework is also able to describe many non trivial links between FX rates and interest rates: a second calibration exercise highlights the ability of the model to fi t simultaneously FX implied volatilities while being coherent with interest rate products.

XVA

Author : Andrew Green
Publisher : John Wiley & Sons
ISBN 13 : 111855678X
Total Pages : 548 pages
Book Rating : 4.1/5 (185 download)

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Book Synopsis XVA by : Andrew Green

Download or read book XVA written by Andrew Green and published by John Wiley & Sons. This book was released on 2015-12-14 with total page 548 pages. Available in PDF, EPUB and Kindle. Book excerpt: Thorough, accessible coverage of the key issues in XVA XVA – Credit, Funding and Capital Valuation Adjustments provides specialists and non-specialists alike with an up-to-date and comprehensive treatment of Credit, Debit, Funding, Capital and Margin Valuation Adjustment (CVA, DVA, FVA, KVA and MVA), including modelling frameworks as well as broader IT engineering challenges. Written by an industry expert, this book navigates you through the complexities of XVA, discussing in detail the very latest developments in valuation adjustments including the impact of regulatory capital and margin requirements arising from CCPs and bilateral initial margin. The book presents a unified approach to modelling valuation adjustments including credit risk, funding and regulatory effects. The practical implementation of XVA models using Monte Carlo techniques is also central to the book. You'll also find thorough coverage of how XVA sensitivities can be accurately measured, the technological challenges presented by XVA, the use of grid computing on CPU and GPU platforms, the management of data, and how the regulatory framework introduced under Basel III presents massive implications for the finance industry. Explores how XVA models have developed in the aftermath of the credit crisis The only text to focus on the XVA adjustments rather than the broader topic of counterparty risk. Covers regulatory change since the credit crisis including Basel III and the impact regulation has had on the pricing of derivatives. Covers the very latest valuation adjustments, KVA and MVA. The author is a regular speaker and trainer at industry events, including WBS training, Marcus Evans, ICBI, Infoline and RISK If you're a quantitative analyst, trader, banking manager, risk manager, finance and audit professional, academic or student looking to expand your knowledge of XVA, this book has you covered.

Stochastic Volatility Modeling

Author : Lorenzo Bergomi
Publisher : CRC Press
ISBN 13 : 1482244071
Total Pages : 520 pages
Book Rating : 4.4/5 (822 download)

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Book Synopsis Stochastic Volatility Modeling by : Lorenzo Bergomi

Download or read book Stochastic Volatility Modeling written by Lorenzo Bergomi and published by CRC Press. This book was released on 2015-12-16 with total page 520 pages. Available in PDF, EPUB and Kindle. Book excerpt: Packed with insights, Lorenzo Bergomi's Stochastic Volatility Modeling explains how stochastic volatility is used to address issues arising in the modeling of derivatives, including:Which trading issues do we tackle with stochastic volatility? How do we design models and assess their relevance? How do we tell which models are usable and when does c

Demystifying Exotic Products

Author : Chia Tan
Publisher : John Wiley & Sons
ISBN 13 : 047074815X
Total Pages : 277 pages
Book Rating : 4.4/5 (77 download)

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Book Synopsis Demystifying Exotic Products by : Chia Tan

Download or read book Demystifying Exotic Products written by Chia Tan and published by John Wiley & Sons. This book was released on 2010-01-19 with total page 277 pages. Available in PDF, EPUB and Kindle. Book excerpt: In recent times, derivatives have been inaccurately labelled the financial weapons of mass destruction responsible for the worst financial crisis in recent history. Inherently complex and perilous for the ill-informed investment professional they can however also be gainfully harnessed. This book is a practical guide to the complexities of exotic products written in simple terms based on the premise that derivatives are not homogenous, and not necessarily dangerous. By exploring common themes behind the construction of various structured products in interest rates, equities and foreign exchange, and investigating the economic environment that promoted the explosive growth of these products, this book will help readers make sense of their relevance in this period of economic uncertainty. Subsequently, by explaining exotic products with simple mathematics, it will aid readers in understanding their potential use in certain investment strategies whilst having a firm control over risk. Exotic products need not be inaccessible. By understanding the products available investors can make informed decisions ensuring features are consistent with their investment objectives and risk preferences. Author Chia Chiang Tan takes readers through the risks and rewards of each product, illustrating when products can damage investment strategies and how to avoid them, leading to suitable, profitable investments. Ultimately, this book will provide practitioners with an understanding of derivatives, enabling them to determine for themselves which products will fit their investment strategy, and how to use them based on the economic environment and inherent risks.

Foreign Exchange Option Pricing

Author : Iain J. Clark
Publisher : John Wiley & Sons
ISBN 13 : 0470683686
Total Pages : 308 pages
Book Rating : 4.4/5 (76 download)

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Book Synopsis Foreign Exchange Option Pricing by : Iain J. Clark

Download or read book Foreign Exchange Option Pricing written by Iain J. Clark and published by John Wiley & Sons. This book was released on 2011-01-18 with total page 308 pages. Available in PDF, EPUB and Kindle. Book excerpt: This book covers foreign exchange options from the point of view of the finance practitioner. It contains everything a quant or trader working in a bank or hedge fund would need to know about the mathematics of foreign exchange—not just the theoretical mathematics covered in other books but also comprehensive coverage of implementation, pricing and calibration. With content developed with input from traders and with examples using real-world data, this book introduces many of the more commonly requested products from FX options trading desks, together with the models that capture the risk characteristics necessary to price these products accurately. Crucially, this book describes the numerical methods required for calibration of these models – an area often neglected in the literature, which is nevertheless of paramount importance in practice. Thorough treatment is given in one unified text to the following features: Correct market conventions for FX volatility surface construction Adjustment for settlement and delayed delivery of options Pricing of vanillas and barrier options under the volatility smile Barrier bending for limiting barrier discontinuity risk near expiry Industry strength partial differential equations in one and several spatial variables using finite differences on nonuniform grids Fourier transform methods for pricing European options using characteristic functions Stochastic and local volatility models, and a mixed stochastic/local volatility model Three-factor long-dated FX model Numerical calibration techniques for all the models in this work The augmented state variable approach for pricing strongly path-dependent options using either partial differential equations or Monte Carlo simulation Connecting mathematically rigorous theory with practice, this is the essential guide to foreign exchange options in the context of the real financial marketplace.

Manufacturing and Managing Customer-Driven Derivatives

Author : Dong Qu
Publisher : John Wiley & Sons
ISBN 13 : 1118632524
Total Pages : 576 pages
Book Rating : 4.1/5 (186 download)

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Book Synopsis Manufacturing and Managing Customer-Driven Derivatives by : Dong Qu

Download or read book Manufacturing and Managing Customer-Driven Derivatives written by Dong Qu and published by John Wiley & Sons. This book was released on 2016-01-14 with total page 576 pages. Available in PDF, EPUB and Kindle. Book excerpt: Manufacturing and Managing Customer-Driven Derivatives Manufacturing and Managing Customer-Driven Derivatives sheds light on customer-driven derivative products and their manufacturing process, which can prove a complicated topic for even experienced financial practitioners. This authoritative text offers up-to-date knowledge and practices across a broad range of topics that address the entire manufacturing, pricing and risk management process, including practical knowledge and industrial best practices. This resource blends quantitative and business perspectives to provide an in-depth understanding of the derivative risk management skills that are necessary to adopt in the competitive financial industry. Manufacturing and managing customer-driven derivative products have become more complex due to macro factors such as the multi-curve environments triggered by the recent financial crises, stricter regulatory requirements of consistent modelling and managing frameworks, and the need for risk/reward optimisation. Explore the fundamental components of the derivatives business, including equity derivatives, interest rates derivatives, real estate derivatives, and real life derivatives, etc. Examine the life cycle of manufacturing derivative products and practical pricing models Deep dive into a wide range of customer-driven structured derivative products, their investment or hedging payoff features and associated risk exposures Examine the implications of changing regulatory standards, which can increase costs in the banking sector Discover practical yet sophisticated product analysis, quantitative modeling, infrastructure integration, risk analysis, and hedging analysis Gain insight on how banks should handle complex derivatives products Manufacturing and Managing Customer-Driven Derivatives is an essential guide for quants, structurers, derivatives traders, risk managers, business executives, insurance industry professionals, hedge fund managers, academic lecturers, and financial math students who are interested in looking at the bigger picture of the manufacturing, pricing and risk management process of customer-driven derivative transactions.

Mathematical Modeling And Computation In Finance: With Exercises And Python And Matlab Computer Codes

Author : Cornelis W Oosterlee
Publisher : World Scientific
ISBN 13 : 1786347962
Total Pages : 1310 pages
Book Rating : 4.7/5 (863 download)

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Book Synopsis Mathematical Modeling And Computation In Finance: With Exercises And Python And Matlab Computer Codes by : Cornelis W Oosterlee

Download or read book Mathematical Modeling And Computation In Finance: With Exercises And Python And Matlab Computer Codes written by Cornelis W Oosterlee and published by World Scientific. This book was released on 2019-10-29 with total page 1310 pages. Available in PDF, EPUB and Kindle. Book excerpt: This book discusses the interplay of stochastics (applied probability theory) and numerical analysis in the field of quantitative finance. The stochastic models, numerical valuation techniques, computational aspects, financial products, and risk management applications presented will enable readers to progress in the challenging field of computational finance.When the behavior of financial market participants changes, the corresponding stochastic mathematical models describing the prices may also change. Financial regulation may play a role in such changes too. The book thus presents several models for stock prices, interest rates as well as foreign-exchange rates, with increasing complexity across the chapters. As is said in the industry, 'do not fall in love with your favorite model.' The book covers equity models before moving to short-rate and other interest rate models. We cast these models for interest rate into the Heath-Jarrow-Morton framework, show relations between the different models, and explain a few interest rate products and their pricing.The chapters are accompanied by exercises. Students can access solutions to selected exercises, while complete solutions are made available to instructors. The MATLAB and Python computer codes used for most tables and figures in the book are made available for both print and e-book users. This book will be useful for people working in the financial industry, for those aiming to work there one day, and for anyone interested in quantitative finance. The topics that are discussed are relevant for MSc and PhD students, academic researchers, and for quants in the financial industry.Supplementary Material:Solutions Manual is available to instructors who adopt this textbook for their courses. Please contact [email protected].

International Reserves and Foreign Currency Liquidity

Author : International Monetary Fund. Statistics Dept.
Publisher : International Monetary Fund
ISBN 13 : 1484350162
Total Pages : 258 pages
Book Rating : 4.4/5 (843 download)

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Book Synopsis International Reserves and Foreign Currency Liquidity by : International Monetary Fund. Statistics Dept.

Download or read book International Reserves and Foreign Currency Liquidity written by International Monetary Fund. Statistics Dept. and published by International Monetary Fund. This book was released on 2015-01-07 with total page 258 pages. Available in PDF, EPUB and Kindle. Book excerpt: This update of the guidelines published in 2001 sets forth the underlying framework for the Reserves Data Template and provides operational advice for its use. The updated version also includes three new appendices aimed at assisting member countries in reporting the required data.

Large Deviations and Asymptotic Methods in Finance

Author : Peter K. Friz
Publisher : Springer
ISBN 13 : 3319116053
Total Pages : 590 pages
Book Rating : 4.3/5 (191 download)

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Book Synopsis Large Deviations and Asymptotic Methods in Finance by : Peter K. Friz

Download or read book Large Deviations and Asymptotic Methods in Finance written by Peter K. Friz and published by Springer. This book was released on 2015-06-16 with total page 590 pages. Available in PDF, EPUB and Kindle. Book excerpt: Topics covered in this volume (large deviations, differential geometry, asymptotic expansions, central limit theorems) give a full picture of the current advances in the application of asymptotic methods in mathematical finance, and thereby provide rigorous solutions to important mathematical and financial issues, such as implied volatility asymptotics, local volatility extrapolation, systemic risk and volatility estimation. This volume gathers together ground-breaking results in this field by some of its leading experts. Over the past decade, asymptotic methods have played an increasingly important role in the study of the behaviour of (financial) models. These methods provide a useful alternative to numerical methods in settings where the latter may lose accuracy (in extremes such as small and large strikes, and small maturities), and lead to a clearer understanding of the behaviour of models, and of the influence of parameters on this behaviour. Graduate students, researchers and practitioners will find this book very useful, and the diversity of topics will appeal to people from mathematical finance, probability theory and differential geometry.

Modern Derivatives Pricing and Credit Exposure Analysis

Author : Roland Lichters
Publisher : Springer
ISBN 13 : 1137494840
Total Pages : 569 pages
Book Rating : 4.1/5 (374 download)

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Book Synopsis Modern Derivatives Pricing and Credit Exposure Analysis by : Roland Lichters

Download or read book Modern Derivatives Pricing and Credit Exposure Analysis written by Roland Lichters and published by Springer. This book was released on 2015-11-15 with total page 569 pages. Available in PDF, EPUB and Kindle. Book excerpt: This book provides a comprehensive guide for modern derivatives pricing and credit analysis. Written to provide sound theoretical detail but practical implication, it provides readers with everything they need to know to price modern financial derivatives and analyze the credit exposure of a financial instrument in today's markets.

Interest Rate Models - Theory and Practice

Author : Damiano Brigo
Publisher : Springer Science & Business Media
ISBN 13 : 354034604X
Total Pages : 1016 pages
Book Rating : 4.5/5 (43 download)

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Book Synopsis Interest Rate Models - Theory and Practice by : Damiano Brigo

Download or read book Interest Rate Models - Theory and Practice written by Damiano Brigo and published by Springer Science & Business Media. This book was released on 2007-09-26 with total page 1016 pages. Available in PDF, EPUB and Kindle. Book excerpt: The 2nd edition of this successful book has several new features. The calibration discussion of the basic LIBOR market model has been enriched considerably, with an analysis of the impact of the swaptions interpolation technique and of the exogenous instantaneous correlation on the calibration outputs. A discussion of historical estimation of the instantaneous correlation matrix and of rank reduction has been added, and a LIBOR-model consistent swaption-volatility interpolation technique has been introduced. The old sections devoted to the smile issue in the LIBOR market model have been enlarged into a new chapter. New sections on local-volatility dynamics, and on stochastic volatility models have been added, with a thorough treatment of the recently developed uncertain-volatility approach. Examples of calibrations to real market data are now considered. The fast-growing interest for hybrid products has led to a new chapter. A special focus here is devoted to the pricing of inflation-linked derivatives. The three final new chapters of this second edition are devoted to credit. Since Credit Derivatives are increasingly fundamental, and since in the reduced-form modeling framework much of the technique involved is analogous to interest-rate modeling, Credit Derivatives -- mostly Credit Default Swaps (CDS), CDS Options and Constant Maturity CDS - are discussed, building on the basic short rate-models and market models introduced earlier for the default-free market. Counterparty risk in interest rate payoff valuation is also considered, motivated by the recent Basel II framework developments.

Handbook of Volatility Models and Their Applications

Author : Luc Bauwens
Publisher : John Wiley & Sons
ISBN 13 : 1118272056
Total Pages : 566 pages
Book Rating : 4.1/5 (182 download)

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Book Synopsis Handbook of Volatility Models and Their Applications by : Luc Bauwens

Download or read book Handbook of Volatility Models and Their Applications written by Luc Bauwens and published by John Wiley & Sons. This book was released on 2012-03-22 with total page 566 pages. Available in PDF, EPUB and Kindle. Book excerpt: A complete guide to the theory and practice of volatility models in financial engineering Volatility has become a hot topic in this era of instant communications, spawning a great deal of research in empirical finance and time series econometrics. Providing an overview of the most recent advances, Handbook of Volatility Models and Their Applications explores key concepts and topics essential for modeling the volatility of financial time series, both univariate and multivariate, parametric and non-parametric, high-frequency and low-frequency. Featuring contributions from international experts in the field, the book features numerous examples and applications from real-world projects and cutting-edge research, showing step by step how to use various methods accurately and efficiently when assessing volatility rates. Following a comprehensive introduction to the topic, readers are provided with three distinct sections that unify the statistical and practical aspects of volatility: Autoregressive Conditional Heteroskedasticity and Stochastic Volatility presents ARCH and stochastic volatility models, with a focus on recent research topics including mean, volatility, and skewness spillovers in equity markets Other Models and Methods presents alternative approaches, such as multiplicative error models, nonparametric and semi-parametric models, and copula-based models of (co)volatilities Realized Volatility explores issues of the measurement of volatility by realized variances and covariances, guiding readers on how to successfully model and forecast these measures Handbook of Volatility Models and Their Applications is an essential reference for academics and practitioners in finance, business, and econometrics who work with volatility models in their everyday work. The book also serves as a supplement for courses on risk management and volatility at the upper-undergraduate and graduate levels.

Foreign Currency Volatility and the Market for French Modernist Art

Author : David Challis
Publisher : BRILL
ISBN 13 : 9004468714
Total Pages : 274 pages
Book Rating : 4.0/5 (44 download)

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Book Synopsis Foreign Currency Volatility and the Market for French Modernist Art by : David Challis

Download or read book Foreign Currency Volatility and the Market for French Modernist Art written by David Challis and published by BRILL. This book was released on 2021-08-04 with total page 274 pages. Available in PDF, EPUB and Kindle. Book excerpt: Foreign Currency Volatility and the Market for French Modernist Art examines how the collapse of the French franc in the decades following the First World War impacted the supply and demand dynamics of the market for French modernist art.

Computational Methods for Inverse Problems

Author : Curtis R. Vogel
Publisher : SIAM
ISBN 13 : 0898717574
Total Pages : 195 pages
Book Rating : 4.8/5 (987 download)

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Book Synopsis Computational Methods for Inverse Problems by : Curtis R. Vogel

Download or read book Computational Methods for Inverse Problems written by Curtis R. Vogel and published by SIAM. This book was released on 2002-01-01 with total page 195 pages. Available in PDF, EPUB and Kindle. Book excerpt: Provides a basic understanding of both the underlying mathematics and the computational methods used to solve inverse problems.

Smile Pricing Explained

Author : P. Austing
Publisher : Springer
ISBN 13 : 1137335726
Total Pages : 235 pages
Book Rating : 4.1/5 (373 download)

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Book Synopsis Smile Pricing Explained by : P. Austing

Download or read book Smile Pricing Explained written by P. Austing and published by Springer. This book was released on 2014-08-29 with total page 235 pages. Available in PDF, EPUB and Kindle. Book excerpt: Smile Pricing Explained provides a clear and thorough explanation of the concepts of smile modelling that are at the forefront of modern derivatives pricing. The key models used in practice are covered, together with numerical techniques and calibration.

CTIA: Consolidated Treaties and International Agreements 2009 Vol 2

Author : OCEANA.
Publisher :
ISBN 13 : 0199759049
Total Pages : 489 pages
Book Rating : 4.1/5 (997 download)

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Book Synopsis CTIA: Consolidated Treaties and International Agreements 2009 Vol 2 by : OCEANA.

Download or read book CTIA: Consolidated Treaties and International Agreements 2009 Vol 2 written by OCEANA. and published by . This book was released on 2010-08-24 with total page 489 pages. Available in PDF, EPUB and Kindle. Book excerpt: Consolidated Treaties of International Agreements is the only up-to-date publication available that offers the full-text coverage of all new treaties and international agreements to which the United States is a party. Treaties that have been formally ratified but not officially published, as well as those pending ratification, are included to guarantee the most comprehensive treaty information available. Executive agreements that have been made available by the Department of State in the previous year are also included. A unique and thorough indexing system, with indices appearing in each volume, allows quick and easy access to treaties.