Julien Pantz

Bank of America Merrill Lynch

2 King Edward Street

London, EC1A 1HQ

United Kingdom

SCHOLARLY PAPERS

2

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CITATIONS

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Scholarly Papers (2)

1.

Quantos and FX Skew

Number of pages: 20 Posted: 27 Jul 2011 Last Revised: 08 Aug 2011
Julien Pantz
Bank of America Merrill Lynch
Downloads 3,186 (3,250)
Citation 1

Abstract:

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quanto, double shifted-lognormal model, FX skew, convexity adjustments, correlation uncertainty, double mixture of lognormals

2.

PnL Prediction under Extreme Scenarios

Number of pages: 8 Posted: 20 Jun 2013
Julien Pantz
Bank of America Merrill Lynch
Downloads 1,295 (14,508)

Abstract:

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PnL predict, numerical integration, delta-gamma approximation, Trapezoid’s method, Simpson's method, stress testing, scenario hedging