Articles by Frank Koster
A simple local correlation model
This paper puts forward a novel kind of "local-in-index" model which allows easier computation of Greeks.
New proxy schemes for swing contracts
The authors investigate the valuation of swing contracts for energy markets and propose two methods which offer more accurate calculated prices than commonly used methods.
A pairwise local correlation model
In this paper, the authors develop a new local correlation model that uses a generic function 'g' to describe the correlation between all asset–asset pairs for a basket of underlyings.
Monte Carlo payoff smoothing for pricing autocallable instruments
This paper develops a Monte Carlo method to price instruments with discontinuous payoffs and non-smooth trigger functions, which allows a stable computation of Greeks via finite differences.