In this note we develop accurate analytical pricing formulas for time dependent quadratic local volatility models. We derive a set of exact simple analytical expressions for option prices when parameters are constant and provide novel and simpler proofs to already exisiting results. We then...

In this note we describe how to obtain reasonable Vegas for European securities priced off a single maturity SABR model calibrated to market data. We first introduce our notations and state what our hedging problem is. We then start by recalling the standard Jacobian methology when the number of...

In this paper we develop accurate technics to price continuous barrier options using a one dimensional finite difference scheme, allowing for time dependent drift as well as time and state dependent volatilities. We provide numerical examples which demonstrate the smoothness and accuracy of such...

In this paper we present an extension of the one factor blended Cheyette model for pricing single currency exotics, allowing for a more adequate fit to the swaption volatility smile. We first present a general framework based on the HJM model and then make a separability assumption on the...