compare their pricing and hedging characteristics. Then we discuss the useful applications of currency protected “quanto …” direct and inverse options for fiat-based traders and describe their pricing and hedging characteristics, all in the Black …

Bermudan cancelable features. We consider a three-factor pricing model with FX volatility skew which results in a time … divide the pricing of a Bermudan cancelable PRDC swap into two independent pricing subproblems, each of which can efficiently …

The term "volatility" applies to changeability: both that which can be measured, such as temperatures and stock prices …, and that which cannot be easily measured, such as affects and emotions. Quantitative financial volatility has typically … between volatility in dance and finance, was a notable exception. Martin focused on derivatives, which played a critical role …

corresponding to a chosen tenor. A forward credit spread volatility function depending on the entire credit spread term structure is …