Adil Reghai

Natixis

Head of Equity and Commodity Quantitative Research

France

SCHOLARLY PAPERS

9

DOWNLOADS
Rank 7,507

SSRN RANKINGS

Top 7,507

in Total Papers Downloads

4,825

CITATIONS

1

Scholarly Papers (9)

1.

Two Factor Stochastic Volatility with Embedded Local Volatility

Posted: 23 Mar 2009 Last Revised: 07 May 2009
Adil Reghai
Natixis
Downloads 909 (19,349)

Abstract:

Stochastic volatility, local volatility, approximation formulae

2.

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 Independent
Downloads 690 (18,506)

Abstract:

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

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 594 (27,757)

Abstract:

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 556 (38,080)
Citation 1

Abstract:

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 El Alaoui and Adil Reghai
Ecole Polytechnique, Paris and Natixis
Downloads 477 (45,817)

Abstract:

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

6.

The Most Likely Stream

Number of pages: 9 Posted: 03 Nov 2012
Adil Reghai
Natixis
Downloads 296 (61,829)

Abstract:

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

7.

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 285 (62,391)

Abstract:

volatility, dividends, smile, conversion, analytical proxy

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 157 (81,570)

Abstract:

CVA; AAD; WWR; COPULA

9.

Decoding the American Vanilla Prices

Number of pages: 12 Posted: 31 Oct 2013
Natixis, Allianz Investment Management and Independent
Downloads 114 (153,337)

Abstract:

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