Abstract

http://ssrn.com/abstract=1298894
 
 

References (18)



 


 



Hybrid Pricing


Sebastien Roland


Université d'Évry - Departement de Mathematiques; ESSEC Business School - Finance Department; HSBC (Global Markets)

Lionel Viet


Dresdner Kleinwort Wasserstein; National Institute of Statistics and Economic Studies (INSEE) - National School for Statistical and Economic Administration (ENSAE)

Marian Ciuca


Pricing Partners

Eric Benhamou


Thomson Reuters

May 30, 2006


Abstract:     
This report presents different hybrid models and their application to the pricing of exotic products. A Market Model combining a risk-free term structure and a defaultable one for one underlying is first developped, with the application to the pricing of some exotic products, especially designed for the hedging needs of pension funds (1). Recalling the basis of the underlying HJM model (2) will then give us the possibility to extend some results to the modelling of the credit migration process (3), and to a multi-name framework (4). Along the lines, some links with Equity diffusions are covered.

Number of Pages in PDF File: 35

Keywords: Exotics, Hybrids, HJM, BGM, Markov Chains, transition matrix, Longstaff Schwarz, probability measure, forward neutral, survival neutral

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Date posted: November 11, 2008 ; Last revised: May 15, 2009

Suggested Citation

Roland, Sebastien and Viet, Lionel and Ciuca, Marian and Benhamou, Eric, Hybrid Pricing (May 30, 2006). Available at SSRN: http://ssrn.com/abstract=1298894 or http://dx.doi.org/10.2139/ssrn.1298894

Contact Information

Sebastien Roland
Université d'Évry - Departement de Mathematiques ( email )
F-91025 Evry Cedex
France
ESSEC Business School - Finance Department ( email )
Avenue Bernard Hirsch
BP 105 Cergy Cedex, 95021
France
HSBC (Global Markets) ( email )
Fourth Floor, 8 Canada Square
Canary Wharf, London, E14 5HQ
United Kingdom
Lionel Viet (Contact Author)
Dresdner Kleinwort Wasserstein ( email )
London EC3P 3DB
United Kingdom
National Institute of Statistics and Economic Studies (INSEE) - National School for Statistical and Economic Administration (ENSAE) ( email )
92245 Malakoff Cedex
France
Marian Ciuca
Pricing Partners ( email )
Paris Cybervillage
204 Rue de crimée
Paris, 75019
France
HOME PAGE: http://www.pricingpartners.com
Eric Benhamou
Thomson Reuters ( email )
6 Rue Rougemont
Paris, 75009
France
HOME PAGE: http://www.thomsonreuters.com
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References:  18

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