European options
Automatic adjoint differentiation for special functions involving expectations
The authors put forward AAD algorithms for functions involving expectations and use their technique to calibrate European options.
Berkshire Hathaway outruns index puts it sold pre-GFC
Options that netted Warren Buffett’s company hefty premiums would be worthless at end-2021 market levels
Efficient simulation of affine forward variance models
Andersen's quadratic-exponential scheme is used for simulations of rough volatility models
What quant finance can learn from a 240-year-old problem
Optimal transport theory offers a data-driven way to calibrate derivatives pricing models
Optimal transport for model calibration
Volatility models and SPX/VIX joint dynamics are calibrated using optimal transport theory
FCMs fret over S&P 500 options settlement changes
Dealers say CME, Cboe settlement time shift for S&P 500-linked options causes risk management headache
Structured products are lost in translation post-Libor
Benchmark shift would “fundamentally transform” popular rates structures, users fear
An adaptive Monte Carlo approach
This paper proposes a new, flexible framework using Monte Carlo methods to price Parisian options not only with constant boundaries but also with general curved boundaries.
Value-at-risk in the European energy market: a comparison of parametric, historical simulation and quantile regression value-at-risk
This paper examines a set of value-at-risk (VaR) models and their ability to appropriately describe and capture price-change risk in the European energy market.
Risky notes replace easy money for exotics desks
Dealers insist ‘it’s different’ as flat US curve revives bonds that sank the Street in 2008
Local stochastic volatility: shaken, not stirred
Dominique Bang introduces a novel LSV approach to term distribution modelling