Resources

In this research paper, Dr. Serguei Mechkov examines the Heston model.

Credit support annexes specify rules for posting collateral. If multiple currencies are allowed, then the party posting collateral has a choice of which currency to post, now and at each future point in time.

This research paper by the Numerix Quantitative Development Team details a new methodology for calculating Funding Value Adjustment (FVA) for vanilla and exotic deals at both the trade, and portfolio level.

Traditional methods for the stochastic alpha beta rho model tend to focus on expansion approximations that are inaccurate in the long maturity ‘wings’.

In this article, we propose a new framework for modeling stochastic local volatility, with potential applications to modeling derivatives on interest rates, commodities, credit, equity, FX etc., as well as hybrid derivatives.

In this article we present an efficient optimization for calculating the exposure and CVA for large portfolios of vanilla swaps.

In this article, we develop the algorithmic approach for Counterparty exposure calculation and automate its application to arbitrary complicated instruments. 

In this article, we present the analytical approximation of zero-coupon bonds and swaption prices for general short rate models.

In this article, we give a general treatment of the Vanna-Volga mark-to-market volatility smile correction in application to pricing of contracts with European exercise on a single underlying.

In this article, we introduce a method for volatility computation from listed prices of American options on an underlying close to log-normal. 

In this article, we present a simple bottom-up dynamic credit model that can be calibrated simultaneously to the market quotes on CDO tranches and individual CDSs constituting the credit portfolio. 

In this paper, we develop a series of approximations for a fast analytical pricing of European constant maturity swap (CMS) products, such as CMS swaps, CMS caps/floors, and CMS spread options, for the LIBOR Market Model (LMM) with stochastic volatility.

In this article, we develop a technique of parameter averaging and Markovian projection on a quadratic volatility model based on a term-by-term matching of the asymptotic expansions of option prices in volatilities.

In this article, we generalize the results of Markovian Projection onto a Heston model to a wider class of approximating models, a Heston model with displaced volatility.

In this article, we propose a new model for the dynamics of the aggregate credit portfolio loss. The model is Markovian in two dimensions with the state variables being the total accumulated loss Lt and the stochastic default intensity λt.

In this paper, we develop a systematic approach to Markovian projection onto an effective displaced diffusion, and work out a set of computationally efficient formulas valid for a large class of non-Markovian underlying processes.

In this article, we develop a systematic approach to the reduction of dimensionality of smile-enabled models by projecting them onto a displaced version of the two-dimensional Heston process.

In this article, we revisit the cross-currency LIBOR Market Model armed with the technique of Markovian projection.