Volatility model risk measurement and against worst case volatilities
Risklab project in model risk (2000)
Journal de la société française de statistique
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Risklab project in model risk (2000)
Journal de la société française de statistique
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Kiesel, Rüdiger (2002)
Journal of Applied Mathematics and Decision Sciences
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Abdelmalek, Wafa, Ben Hamida, Sana, Abid, Fathi (2009)
Journal of Applied Mathematics and Decision Sciences
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Igor Melicherčik, Daniel Ševčovič (2010)
The Yugoslav Journal of Operations Research
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Egozcue, Martin, Wong, Wing-Keung (2010)
Advances in Decision Sciences
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Philippe Durand, Jean-Frédéric Jouanin (2007)
ESAIM: Probability and Statistics
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In practice, it is well known that hedging a derivative instrument can never be perfect. In the case of credit derivatives ( synthetic CDO tranche products), a trader will have to face some specific difficulties. The first one is the inconsistence between most of the existing pricing models, where the risk is the occurrence of defaults, and the real hedging strategy, where the trader will protect his portfolio against small CDS spread movements. The second one, which is the main subject...
Li-Hui Chen (2010)
The Yugoslav Journal of Operations Research
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Zorica Mladenović (2009)
The Yugoslav Journal of Operations Research
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Josephy, N., Kimball, L., Steblovskaya, V. (2008)
Journal of Applied Mathematics and Stochastic Analysis
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Karol Binkowski, Andrzej Kozek (2010)
Banach Center Publications
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The standard Merton-Black-Scholes formula for European Option pricing serves only as approximation to real values of options. More advanced extensions include applications of Lévy processes and are based on characteristic functions, which are more convenient to use than the corresponding probability distributions. We found one of the Lewis (2001) general theoretical formulae for option pricing based on characteristic functions particularly suitable for a statistical approach to option...
Fabio Fornari, Carlo Monticelli (1998)
Journal de la société française de statistique
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P. Sztuba, A. Weron (2001)
Applicationes Mathematicae
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We show how to use the Gaussian HJM model to price modified forward-start options. Using data from the Polish market we calibrate the model and price this exotic option on the term structure. The specific problems of Central Eastern European emerging markets do not permit the use of the popular lognormal models of forward LIBOR or swap rates. We show how to overcome this difficulty.
Jandačka, Martin, Ševčovič, Daniel (2005)
Journal of Applied Mathematics
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Manuel Moreno, Javier F. Navas, Federico Todeschini (2009)
RACSAM
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