Interpolation
A look at future exposures, through a 19th century lens
Can a centenarian maths idea speed up the calculation of forward sensitivities?
Currency derivatives house of the year: HSBC
Risk Awards 2017: Clever approach to options pricing buoyed UK bank during Brexit uncertainty
US inflation traders consider swap methodology change
Banks weighing up move to non-interpolated standard to cut capital costs
An efficient convergent lattice method for Asian option pricing with superlinear complexity
In this paper the authors present an efficient convergent lattice method for Asian option pricing with superlinear complexity.
A novel Fourier transform B-spline method for option pricing
By means of B-spline interpolation, this paper provides an accurate closed-form representation of the option price under an inverse Fourier transform.
Sponsored statement: Murex
Trust is good, control is better – Complex model validation
Filling the gaps
Filling the gaps