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Local Volatility Pricing Models for Long-Dated FX Derivatives
12 references·1 citing·38 second hop
Local Volatility Pricing Models for Long-Dated FX Derivatives (2012)Local Volatility Pricing Models for Long-…On Cross-Currency Models with Stochastic Volatility and Correlated Interest Rates (2011)On Cross-Currency Models with…Pricing long-dated insurance contracts with stochastic interest rates and stochastic volatility (2009)Pricing long-dated insurance …Equity Hybrid Derivatives (2007)Equity Hybrid DerivativesPaul Wilmott on Quantitative Finance (2006)Paul Wilmott on Quantitative …A perfect calibration! now what? (2004)A perfect calibration! now wh…Applications of Malliavin calculus to Monte-Carlo methods in finance. II (2001)Applications of Malliavin cal…Stochastic Volatility With an Ornstein–Uhlenbeck Process: An Extension (1999)Stochastic Volatility With an…Continuous Martingales and Brownian Motion (1999)Continuous Martingales and Br…Applications of Malliavin calculus to Monte Carlo methods in finance (1999)Applications of Malliavin cal…Stochastic Implied Trees: Arbitrage Pricing with Stochastic Term and Strike Structure of Volatility (1998)Stochastic Implied Trees: Arb…One-Factor Interest-Rate Models and the Valuation of Interest-Rate Derivative Securities (1993)One-Factor Interest-Rate Mode…A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options (1993)A Closed-Form Solution for Op…An Affine Multicurrency Model with Stochastic Volatility and Stochastic Interest Rates (2014)An Affine Multicurrency Model…The Pricing of Options and Corporate Liabilities (1973)A Theory of the Term Structure of Interest Rates (1985)The Little Heston Trap (2006)Calibration and hedging under jump diffusion (2007)Deep learning volatility: a deep neural network perspective on pricing and calibration in (rough) volatility models (2020)An equilibrium characterization of the term structure (1977)Bond Pricing and the Term Structure of Interest Rates: A New Methodology for Contingent Claims Valuation (1992)Efficient Procedures for Valuing European and American Path-Dependent Options (1993)Valuing American Options in a Path Simulation Model (2002)Term Structure Dynamics in Theory and Reality (2003)Theory of Rational Option Pricing (1973)Empirical Performance of Alternative Option Pricing Models (1997)Transform Analysis and Asset Pricing for Affine Jump-diffusions (2000)The Cross‐Section of Volatility and Expected Returns (2006)A quantization algorithm for solving multidimensional discrete-time optimal stopping problems (2003)Pricing and Hedging Spread Options (2003)Discrete-time approximation and Monte-Carlo simulation of backward stochastic differential equations (2004)Brownian Motion and Stochastic Calculus (2007)Stochastic differential equations and applications (2008)Numerical solution of stochastic differential equations (2016)Monte Carlo Methods in Financial Engineering (2003)Generic Pricing of FX, Inflation and Stock Options Under Stochastic Interest Rates and Stochastic Volatility (2009)Pricing of foreign exchange options under the Heston stochastic volatility model and CIR interest rates (2013)Variable Annuities with VIX-Linked Fee Structure under a Heston-Type Stochastic Volatility Model (2016)Backward Stochastic Differential Equations in Finance (1997)The Variance Gamma Process and Option Pricing (1998)A General Version of the Fundamental Theorem of Asset Pricing (1994) (2008)Universal option valuation using quadrature methods (2003)Applied Stochastic Processes and Control for Jump-Diffusions: Modeling, Analysis and Computation (2007)Hitting time distributions in financial markets (2007)Option-Implied Risk-Neutral Distributions and Implied Binomial Trees (1999)Computing the implied volatility in stochastic volatility models (2004)On the Heston Model with Stochastic Interest Rates (2011)Option pricing by transform methods: extensions, unification and error control (2004)Crashes, Volatility, and the Equity Premium: Lessons from S&P 500 Options (2010)A New Kind of Accurate Numerical Method for Backward Stochastic Differential Equations (2006)A mean-field stochastic maximum principle via Malliavin calculus (2012)Monte-Carlo Valuation of American Options: Facts and New Algorithms to Improve Existing Methods (2012)
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References

  • 1993A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options8,768 cited
  • 1999Continuous Martingales and Brownian Motion6,200 cited
  • 1999Applications of Malliavin calculus to Monte Carlo methods in finance549 cited
  • 1993One-Factor Interest-Rate Models and the Valuation of Interest-Rate Derivative Securities470 cited
  • 2006Paul Wilmott on Quantitative Finance467 cited
  • 1999Stochastic Volatility With an Ornstein–Uhlenbeck Process: An Extension424 cited
  • 1998Stochastic Implied Trees: Arbitrage Pricing with Stochastic Term and Strike Structure of Volatility256 cited
  • 2004A perfect calibration! now what?175 cited
  • 2001Applications of Malliavin calculus to Monte-Carlo methods in finance. II174 cited
  • 2009Pricing long-dated insurance contracts with stochastic interest rates and stochastic volatility75 cited
  • 2007Equity Hybrid Derivatives66 cited
  • 2011On Cross-Currency Models with Stochastic Volatility and Correlated Interest Rates48 cited

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  • 2014An Affine Multicurrency Model with Stochastic Volatility and Stochastic Interest Rates28 cited

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