Julien Pantz

Bank of America Merrill Lynch

2 King Edward Street

London, EC1A 1HQ

United Kingdom

SCHOLARLY PAPERS

2

DOWNLOADS
Rank 10,261

SSRN RANKINGS

Top 10,261

in Total Papers Downloads

4,442

CITATIONS

0

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 3,162 (3,243)

Abstract:

Loading...

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 1,280 (14,532)

Abstract:

Loading...

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