Marco de Innocentis

The Royal Bank of Scotland - NatWest Markets

250 Bishopsgate

London, EC2M 4AA

United Kingdom

Credit Suisse Securities (Europe) Limited

1 Cabot Square

London, E14 4QJ

United Kingdom

University of Leicester

Department of Mathematics

University Road

Leicester, LE1 7RG

United Kingdom

  • The Royal Bank of Scotland - NatWest Markets

  • Credit Suisse Securities (Europe) Limited

  • University of Leicester

SCHOLARLY PAPERS

5

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1,366

SSRN CITATIONS
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Top 34,603

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10

CROSSREF CITATIONS

13

Scholarly Papers (5)

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1.

Efficient Simulation of the Multi Asset Heston Model

Number of pages: 19 Posted: 11 Feb 2016 Last Revised: 15 Feb 2016
Marco de Innocentis, Marco de Innocentis, Roland Lichters and Markus Trahe
Credit Suisse Securities (Europe) LimitedThe Royal Bank of Scotland - NatWest Markets, Quaternion Risk Management and Credit Suisse AG
Downloads 564 (68,357)

Abstract:

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Heston, multi asset, Monte Carlo, efficient simulation, numerical scheme, option pricing

2.

Calibration and Backtesting of the Heston Model for Counterparty Credit Risk

Number of pages: 11 Posted: 01 May 2016 Last Revised: 08 Jan 2018
Marco de Innocentis, Marco de Innocentis and Sergei Levendorskii
Credit Suisse Securities (Europe) LimitedThe Royal Bank of Scotland - NatWest Markets and Calico Science Consulting
Downloads 341 (123,435)
Citation 4

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Heston model, calibration, benchmarking, SR-11-7, backtest, COS, FFT, counterparty risk, CVA

3.

Prices of Barrier and First-Touch Digital Options in Levy-Driven Models, Near Barrier

Number of pages: 63 Posted: 28 Nov 2009
Mitya Boyarchenko, Marco de Innocentis, Marco de Innocentis and Sergei Levendorskii
University of Michigan - Department of Mathematics, Credit Suisse Securities (Europe) LimitedThe Royal Bank of Scotland - NatWest Markets and Calico Science Consulting
Downloads 169 (242,457)
Citation 10

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barrier options, first-touch digitals, Levy processes,Carr's randomization, KoBoL processes, CGMY model,Normal Inverse Gaussian processes, Variance Gamma processes, Wiener-Hopf factorization, asymptotics

4.

Pricing Discrete Barrier Options and Credit Default Swaps Under Levy Processes

Number of pages: 63 Posted: 10 Jun 2012
Marco de Innocentis, Marco de Innocentis and Sergei Levendorskii
Credit Suisse Securities (Europe) LimitedThe Royal Bank of Scotland - NatWest Markets and Calico Science Consulting
Downloads 164 (248,701)
Citation 8

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Barrier options, credit default swaps, CDS, defaultable bonds, discrete monitoring, credit derivatives, Greeks, inverse Fourier transform, FFT, Hilbert transform, CONV method, COS method, Levy processes, KoBoL processes, CGMY model, Variance Gamma processes

5.

Fast Calculation of Prices and Sensitivities of European Options Under Variance Gamma

Number of pages: 46 Posted: 24 Aug 2011 Last Revised: 30 Jan 2012
Marco de Innocentis and Marco de Innocentis
Credit Suisse Securities (Europe) LimitedThe Royal Bank of Scotland - NatWest Markets
Downloads 128 (302,672)
Citation 1

Abstract:

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European option pricing, Levy processes, Variance Gamma, VG, KoBoL, CGMY, ATM, inverse Fourier Transform, FFT, flat iFT, parabolic iFT, hyperbolic iFT, ATMVG, FastVG, model calibration