Adil Reghai

Natixis

Head of Equity and Commodity Quantitative Research

France

SCHOLARLY PAPERS

10

DOWNLOADS
Rank 8,002

SSRN RANKINGS

Top 8,002

in Total Papers Downloads

5,928

SSRN CITATIONS

0

CROSSREF CITATIONS

4

Scholarly Papers (10)

1.

Local Volatility: Smooth Calibration and Fast Usage

Number of pages: 14 Posted: 20 Feb 2012 Last Revised: 31 Dec 2015
Adil Reghai, Gilles Boya and Ghislain Vong
Natixis, Natixis and Deutsche Bank AG - Global Equity Derivatives
Downloads 1,276 (15,917)
Citation 1

Abstract:

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Local volatility, calibration, fixed point algorithm, Operator Methods, Fast Discrete Random Number simulation, Magnus

2.

Two Factor Stochastic Volatility with Embedded Local Volatility

Posted: 23 Mar 2009 Last Revised: 07 May 2009
Adil Reghai
Natixis
Downloads 929 (25,476)

Abstract:

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Stochastic volatility, local volatility, approximation formulae

3.

LSV Models with a Mixing Weight

Number of pages: 19 Posted: 20 Feb 2012
Adil Reghai, Vincent Klaeyle and Amine Boukhaffa
Natixis, affiliation not provided to SSRN and affiliation not provided to SSRN
Downloads 886 (27,279)
Citation 2

Abstract:

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LSV models, local volatility, calibration, pricing, hedging, vega, asymptotics

4.

Credit Risk in Equity Deals

Number of pages: 20 Posted: 22 Jun 2013 Last Revised: 12 Mar 2015
Natixis, Independent and Natixis
Downloads 579 (48,638)

Abstract:

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CVA, Monte Carlo, AAD, Duality

5.

A Consistent Pricing Framework with Counterparty Risk and Collateral Agreements

Number of pages: 9 Posted: 23 Jan 2013 Last Revised: 25 Jan 2013
Ahmed Alaoui and Adil Reghai
Ecole Polytechnique, Paris and Natixis
Downloads 498 (58,835)

Abstract:

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CVA, DVA, FVA, Collateral, PDE, Non Linear, Equity Swap

6.

From Spot Volatility to Forward Volatility

Number of pages: 7 Posted: 30 Jul 2012
Adil Reghai and Gilles Boya
Natixis and affiliation not provided to SSRN
Downloads 484 (60,927)

Abstract:

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volatility, dividends, smile, conversion, analytical proxy

7.

The Most Likely Stream

Number of pages: 9 Posted: 03 Nov 2012
Adil Reghai
Natixis
Downloads 452 (66,267)

Abstract:

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approximation, local volatility, implied volatility, most likely path, most likely stream

8.

A Sensitivity Based Approach for CVA Computation

Number of pages: 27 Posted: 12 Mar 2015
Adil Reghai and Othmane Kettani
Natixis and Independent
Downloads 365 (85,328)

Abstract:

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CVA; AAD; WWR; COPULA

9.

Matching Market Views and Strategies: A New Risk Framework for Optimal Selection

Number of pages: 18 Posted: 25 Feb 2018
Adil Reghai and Gaƫl Riboulet
Natixis and Natixis
Downloads 242 (132,908)

Abstract:

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over fitting, quantitative investing, classification, Markowitz, Risk Framework

10.

Decoding the American Vanilla Prices

Number of pages: 12 Posted: 31 Oct 2013
Natixis, Allianz Investment Management and Independent
Downloads 217 (147,738)
Citation 1

Abstract:

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American options, local volatility, calibration, algorithmic differentiation, gradient descent, market practice