Sebastien Gurrieri

affiliation not provided to SSRN

SCHOLARLY PAPERS

5

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5

Scholarly Papers (5)

1.

Calibration Methods of Hull-White Model

Number of pages: 43 Posted: 29 Nov 2009 Last Revised: 31 May 2010
Sebastien Gurrieri, Masaki Nakabayashi and Tony Wong
affiliation not provided to SSRN, Mizuho Securities Co. Ltd and affiliation not provided to SSRN
Downloads 6,757 (994)
Citation 3

Abstract:

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Hull-White, calibration, time-dependent, swaption

2.

A Class of Term Structures for SVI Implied Volatility

Number of pages: 14 Posted: 08 Mar 2011
Sebastien Gurrieri
affiliation not provided to SSRN
Downloads 1,023 (23,006)
Citation 4

Abstract:

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SVI, term structure, no-arbitrage, calendar spread, local volatility, implied volatility

3.

An Analysis of Sobol Sequence and the Brownian Bridge

Number of pages: 39 Posted: 01 Nov 2011
Sebastien Gurrieri
affiliation not provided to SSRN
Downloads 742 (36,180)
Citation 1

Abstract:

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Sobol sequence, Brownian bridge, Quasi Monte Carlo, parallel programming, CUDA

4.

Monte-Carlo Calibration of Hybrid Local Volatility Models

Number of pages: 42 Posted: 19 Jul 2012
Sebastien Gurrieri
affiliation not provided to SSRN
Downloads 423 (74,329)
Citation 1

Abstract:

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hybrid, local volatility, dupire, calibration, Monte-Carlo, CUDA, GPU

5.

Applications of the Replication Method for XVAs

Number of pages: 45 Posted: 02 Oct 2018
Sebastien Gurrieri
affiliation not provided to SSRN
Downloads 60 (384,812)

Abstract:

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XVAs, Replication, FVA, DVA2, Funding Invariance