We consider the valuation and risk management of derivatives on defaultable assets such as bonds taking into account funding (FVA), cash collateral, underlying default, counterparty default (CVA) and default correlation using joint default poisson process. The framework can be considered as an...

In this paper we employ a one-factor Lévy model to determine basket option prices. More precisely, basket option prices are determined by replacing the distribution of the real basket with an appropriate approximation. For the approximate basket we determine the underlying characteristic...

We develop a Gaussian stochastic string model that provides closed-form expressions for the prices of caps and swaptions that, under certain conditions, reduce to Black (1976) formulas. We also propose a stochastic string LIBOR market model that generalizes the models of Brace et al. (1997) and...

We present a hybrid Heston local correlation model for pricing multi-dimensional FX derivatives. The model is symmetric under inversion and triangulation and yields prices that are consistent with the one-dimensional vanilla markets of both main and cross FX rates. Irrespective of the choice of...

Die Bedeutung von Derivaten für Anleger auf Finanzmärkten nimmt zu. Gleichzeitig wird es immer wichtiger, bei der Entscheidung über Kauf und Verkauf derartiger Titel die Unsicherheit der zukünftigen Preisentwicklung zu berücksichtigen. Die Annahmen, die den bei der Analyse derartiger...