Quantitative analysis
The vanna-volga method for implied volatilities
Option pricing
A matter of attitude
Technical papers
Landesbank BW
Quant Analysis
Bayerische Landesbank
Quant Analysis
Credit Mutuel
Quant Analysis
Natwest International
Quant Analysis
Managing interest rate risk for non-maturity deposits
For many banks, non-maturity deposits represent a significant part of funding. However, there is still no commonly accepted approach to managing such deposits' interest rate risk. Marije Elkenbracht and Bert-Jan Nauta introduce two dynamic hedge…
Operational VAR: meaningful means
Making the assumption that the distribution of operational loss severity has finite mean, Klaus Böcker and Jacob Sprittulla suggest a refined version of the analytical operational value-at-risk theorem derived in Böcker & Klüppelberg (2005), which…
The saddlepoint method and portfolio optionalities
Richard Martin describes the application of saddlepoint methods to the calculation of tranche payouts and expected shortfall in loss distributions. Aside from computational use in their own right, the resulting formulas motivate a forthcoming discussion…
Maximum draw-down and directional trading
Maximum draw-down measures the worst drop in a market in a given time period. Jan Vecer shows how to price and replicate this event. Replication can be naturally linked to existing popular trading strategies, such as momentum or contrarian trading
Understanding longevity bonds
Cutting edge: longevity bonds
Van Lanschot Bankiers
Quant Analysis
KBC Bank/CBC Banque
Quant Analysis
Britannia International
Quant Analysis
EverBank
Quant Analysis
Managing interest rate risk for non-maturity deposits
For many banks, non-maturity deposits represent a significant part of funding. However, there is still no commonly accepted approach to managing such deposits' interest rate risk. Marije Elkenbracht and Bert-Jan Nauta introduce two dynamic hedge…
Cutting edges using domain integration
Zhengyun Hu, Jeroen Kerkhof, Paul McCloud and Jorg Wackertapp present the semi-analytic lattice integrator tree, a domain integrator method for pricing derivatives. This method can eliminate almost all numerical noises in derivatives pricing, and…
Optimising omega
Optimising a portfolio's omega generally requires non-linear optimisation methods. Helmut Mausser, David Saunders and Luis Seco show that, under suitable conditions, a simple change of variables transforms the problem into a linear program that is much…
A fair-value enterprise
Cutting Edge: Liability management
ABN Amro
Quant Analysis
HSBC Bank International
Quant Analysis
Permanent TSB
Quant Analysis
Caja Espana
Quant Analysis