In this article we describe a hybrid model for long dated equity linked structures. These products, which maturity may extend well beyond 20 years, exhibit significant sensitivity to interest rate volatility and equity smile. Here we choose to model the underlying price process with a parametric...

In this paper we investigate the impact of collateral posting on derivative prices. We build a complete discounting framework from vanilla swap pricing to single currency exotic option pricing. We show how to extract initial discount and forecast curves from the market of OIS and IR Vanilla...

In this paper we present an extension of the classical Hull-White framework for pricing single currency exotics, which allows 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...

The common fall of asset prices during crises and recessions implies that asset correlation is strong during these events, while not necessarily showing up during the boom phase of the business cycle. Using insights from the malinvestment cycle theory, we show that this shift in correlation is...

According to several extended behavioral theories, value profits should mirror momentum profits, and vary over time. We test these theories in the cross section of returns. Value returns depend on market states. From 1926 to 2018, following negative market return, the average so-called value...