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CUTTING EDGE - Interest rates - General short-rate analytics - The authors present an analytical approximation of zero-coupon bonds and swaption prices for general short-rate models. The approximation is based on regular and singular expansions with respect to low volatility and contains a low-dimensional integration. The model in hand assumes the short rate is an arbitrary function of a ...

Antonov, Alexandre; Spector, Michael - In: Risk : managing risk in the world's financial markets 24 (2011) 5, pp. 66-72

Persistent link: https://www.econbiz.de/10009029307

Stochastic Volatility Model with Time-dependent Skew

Piterbarg, Vladimir - In: Applied mathematical finance 12 (2005) 2, pp. 147-186

Persistent link: https://www.econbiz.de/10008214118

CALIBRATION: Markovian projection for volatility calibration The author looks at the 'Markovian projection method', a way of obtaining closed-form approximations of European-style option prices on various underlyings that, in principle, is applicable to any (diffusive) model. The aim is to distil the essence of the method into a conceptually simple 'plan of attack' that anyone who wants to obtain ...

Piterbarg, Vladimir - In: Risk : managing risk in the world's financial markets 20 (2007) 4, pp. 84-89

Persistent link: https://www.econbiz.de/10007731439

CUTTING EDGE - Interest rate derivatives - Rates squared - The author introduces a conveniently parameterised class of multi-factor quadratic Gaussian models, develops calibration formulas, and explains the advantages of this class of models over alternatives currently available for pricing and risk management of interest rate exotic derivatives.

Piterbarg, Vladimir - In: Risk : managing risk in the world's financial markets 22 (2009) 1, pp. 100-105

Persistent link: https://www.econbiz.de/10008168571

CUTTING EDGE Cross-currency exatics - Smiling hybrids - The author develops a multi-currenrcy model with foreign exchange skew suitable for valuation and risk management of forex-linked hybrids, in particular PRDC swaps. The emphasis is on model calibration to forex options across different maturities and strikes.

Piterbarg, Vladimir - In: Risk : managing risk in the world's financial markets 19 (2006) 5, pp. 66-75

Persistent link: https://www.econbiz.de/10007288127

Option pricing: Time to smile - The author derives 'effective' time-independent parameters for stochastic volatility models with time-dependent coefficients.

Piterbarg, Vladimir - In: Risk : managing risk in the world's financial markets 18 (2005) 5, pp. 71-75

Persistent link: https://www.econbiz.de/10007023421

Derivatives pricing - Spread options, Farkas's lemma and linear programming

Piterbarg, Vladimir - In: Risk : managing risk in the world's financial markets 24 (2011) 8, pp. 61-66

Persistent link: https://www.econbiz.de/10009256559

CUTTING EDGE - Credit derivatives - Pricing and hedging basket credit derivatives in the Gaussian copula - The static assumptions of the Gaussian copula model have long presented an obstacle to dynamic hedging of credit portfolio tranches. Here, the authors combine the copula with a spread diffusion to derive hedging error as proportional to the gamma times the difference between implied and ...

Piterbarg, Vladimir - In: Risk : managing risk in the world's financial markets 23 (2010) 2, pp. 92-97

Persistent link: https://www.econbiz.de/10008385404

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