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SIMULTANEOUS CALIBRATION TO A RANGE OF PORTFOLIO CREDIT DERIVATIVES WITH A DYNAMIC DISCRETE-TIME MULTI-STEP MARKOV LOSS MODEL

WALKER, MICHAEL B. - In: International Journal of Theoretical and Applied … 12 (2009) 05, pp. 633-662

portfolio, and develops a method for the simultaneous calibration of the model to all available relevant market prices (for CDO …

Persistent link: https://www.econbiz.de/10008512506

AN IMPLIED VOLATILITY MODEL DETERMINED BY CREDIT DEFAULT SWAPS

HEIDER, PASCAL - In: International Journal of Theoretical and Applied … 15 (2012) 07, pp. 1250049-1

calibration strategy is presented and numerical examples are studied to validate the model assumptions. Besides option pricing, we …

Persistent link: https://www.econbiz.de/10011011262

EFFICIENT PRICING AND RELIABLE CALIBRATION IN THE HESTON MODEL

LEVENDORSKIĬ, SERGEI - In: International Journal of Theoretical and Applied … 15 (2012) 07, pp. 1250050-1

inaccurate pricing and calibration. As applications, we consider the Heston model and its generalization. For many parameter sets …

Persistent link: https://www.econbiz.de/10011011297

THE HESTON STOCHASTIC-LOCAL VOLATILITY MODEL: EFFICIENT MONTE CARLO SIMULATION

STOEP, ANTHONIE W. VAN DER; GRZELAK, LECH A.; … - In: International Journal of Theoretical and Applied … 17 (2014) 07, pp. 1450045-1

In this paper we propose an efficient Monte Carlo scheme for simulating the stochastic volatility model of Heston (1993) enhanced by a nonparametric local volatility component. This hybrid model combines the main advantages of the Heston model and the local volatility model introduced by Dupire...

Persistent link: https://www.econbiz.de/10011094650

FAST COMPUTATION OF VANILLA PRICES IN TIME-CHANGED MODELS AND IMPLIED VOLATILITIES USING RATIONAL APPROXIMATIONS

PISTORIUS, MARTIJN; STOLTE, JOHANNES - In: International Journal of Theoretical and Applied … 15 (2012) 04, pp. 1250031-1

We present a new numerical method to price vanilla options quickly in time-changed Brownian motion models. The method is based on rational function approximations of the Black-Scholes formula. Detailed numerical results are given for a number of widely used models. In particular, we use the...

Persistent link: https://www.econbiz.de/10010552940

THE CARMA INTEREST RATE MODEL

ANDRESEN, ARNE; BENTH, FRED ESPEN; KOEKEBAKKER, STEEN; … - In: International Journal of Theoretical and Applied … 17 (2014) 02, pp. 1450008-1

In this paper, we present a multi-factor continuous-time autoregressive moving-average (CARMA) model for the short and forward interest rates. This model is able to present an adequate statistical description of the short and forward rate dynamics. We show that this is a tractable term structure...

Persistent link: https://www.econbiz.de/10010883222

A PARSIMONIOUS MULTI-ASSET HESTON MODEL: CALIBRATION AND DERIVATIVE PRICING

DIMITROFF, GEORGI; LORENZ, STEFAN; SZIMAYER, ALEXANDER - In: International Journal of Theoretical and Applied … 14 (2011) 08, pp. 1299-1333

We propose a parsimonious multi-asset Heston model and provide an easy-to-implement calibration algorithm. The model is … affine allowing for efficient calibration of the respective parameters. The single-asset models are correlated using cross …, and serve as basis for calibration. A hybrid calibration approach for identifying the model parameters consistent with …

Persistent link: https://www.econbiz.de/10009415366

THE STOCHASTIC INTENSITY SSRD MODEL IMPLIED VOLATILITY PATTERNS FOR CREDIT DEFAULT SWAP OPTIONS AND THE IMPACT OF CORRELATION

BRIGO, DAMIANO; COUSOT, LAURENT - In: International Journal of Theoretical and Applied … 09 (2006) 03, pp. 315-339

the model parameters and that can be used to have a first rough estimate of the implied volatility following a calibration …

Persistent link: https://www.econbiz.de/10004971738

A NEW FINITE ELEMENT METHOD FOR PRICING OF BOND OPTIONS UNDER TIME INHOMOGENEOUS AFFINE TERM STRUCTURE MODELS OF INTEREST RATES

YANG, HONGTAO - In: International Journal of Theoretical and Applied … 10 (2007) 01, pp. 31-49

In this paper we propose a new finite element method for pricing of bond options under time inhomogeneous one-factor affine models of short interest rates: the Hull–White model and the extended CIR model. The stability and weak convergence are established. Numerical results are presented to...

Persistent link: https://www.econbiz.de/10004971788

CREDIT RISK MODELING WITH MISREPORTING AND INCOMPLETE INFORMATION

CAPPONI, AGOSTINO; CVITANIĆ, JAKŠA - In: International Journal of Theoretical and Applied … 12 (2009) 01, pp. 83-112

We propose a structural model for the valuation of defaultable securities of a firm which models the effect of deliberate misreporting done by insiders in the firm and unobserved by others. We derive exact formulas for equity and bond prices and approximate expressions for the conditional...

Persistent link: https://www.econbiz.de/10004971806