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Heston model, Monte Carlo simulation, SDE discretization, bias reduction, affine square-root models
commodity futures, natural gas, seasonality, jump-diffusion, stochastic volatility, regime-switching, Markov model
Stochastic volatility models, CEV model, displaced diffusion, moment stability, martingale property, integrability, volatility smile asymptotics
tension splines, term structure of interest rates, yield curve, bond pricing, swap pricing
Volatility smiles, stochastic volatility, Libor market model, asymptotic expansions, ADI finite differences, Monte Carlo simulation
Stochastic volatility, Libor market model, Andersen and Andreasen, nonparametic, CEV Formulation, mean-reverting, European option prices, Monte Carlo
American option pricing, integral equations, fixed point algorithm, Chebyshev interpolation, collocation methods
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american options, integral, computational finance
Margin Period of Risk, Swaps, Collateral, Credit Exposure, CVA
Funding, collateral, FVA, CVA, DVA, accounting
Quadratic SDE, option pricing, local martingale, volatility smiles
Funding value adjustment, swap XVAs, debit value adjustment, debt overhang
margin period of risk, initial margin, credit exposure, uncleared margin rules, kernel regression
Funding, FVA, CVA, XVA, stress testing, funding arbitrage, accounting, OTC
Time-averaging, local-stochastic volatility, quadratic local volatility, Heston process
Libor Benchmark Reform, SOFR, Repo Rates, Short-Term Rate Spikes, Caplets, Markov Chains
Option Pricing, Fourier Methods, Contour Deformation, Heston Model, Double-Exponential Rule
Central Clearing, CCP, Fat Tailed Processes, Initial Margin, CVA, MVA
option pricing, Levy processes, local volatility processes, small-time asymptotics, large-time asymptotics, wing asymptotics
Non-Uniform Fast Fourier Transform, NUFFT, double-exponential quadrature, option pricing, stochastic volatility
File name: SSRN-id2902737.pdf Size: 756K
collateralized positions; initial margin; collateralized exposure; bilateral trading relationships.
Dynamic model of CDOs, dynamic copula, conditional Markov process, options on tranches, option on CDO tranche, portfolio loss, SPA model, leveraged super-senior
CDOs, CDO models, calibration against CDO market data, nase correlation skews, model-independent approaches
Gaussian copula, copulas, portfolio default loss, copula models, random factor loadings
