Structured products - Hybrid smiles made fast - Risk management of equity-linked structured notes requires consistent modelling of both stocks' smiles and stochastic interest rates. Existing approaches require costly computations to capture highly curved smiles — Especially at long-dated maturities. The authors show how a quadratic parameterisation of volatility, with some analytic approximations, ...
| Year of publication: |
2013
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|---|---|
| Authors: | Chibane, Messaoud ; Law, Dikman |
| Published in: |
Risk : managing risk in the world's financial markets. - London : Incisive Financial Publ, ISSN 0952-8776, ZDB-ID 10494753. - Vol. 26.2013, 8, p. 64-67
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