Christian Kamtchueng

CTK corp

Head Quant Advisor

Canary Wharf

London

http://www.cityquant.com

SCHOLARLY PAPERS

21

DOWNLOADS
Rank 15,793

SSRN RANKINGS

Top 15,793

in Total Papers Downloads

3,031

SSRN CITATIONS
Rank 25,716

SSRN RANKINGS

Top 25,716

in Total Papers Citations

0

CROSSREF CITATIONS

26

Scholarly Papers (21)

1.

Uncertain Correlation Model

Wilmott Journal, Vol. 2, December 2010
Number of pages: 46 Posted: 14 Jul 2009 Last Revised: 15 Mar 2012
Christian Kamtchueng
CTK corp
Downloads 481 (58,320)

Abstract:

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correlation, equity, uncertain, stochastic, UCM

2.

Autocallable More American Than European?

Number of pages: 19 Posted: 10 Sep 2011 Last Revised: 20 May 2012
Christian Kamtchueng
CTK corp
Downloads 338 (88,364)
Citation 3

Abstract:

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autocallable, autocallable pricing, hedging

3.

Digital Pricing and Hedging

Number of pages: 24 Posted: 10 Sep 2011 Last Revised: 20 May 2012
Christian Kamtchueng
CTK corp
Downloads 317 (94,835)
Citation 4

Abstract:

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Digital, Hedging, Pricing

4.

CVA Implied Vol and Netting Arbitrage

Number of pages: 35 Posted: 10 Oct 2011 Last Revised: 12 Nov 2012
Christian Kamtchueng
CTK corp
Downloads 214 (142,387)
Citation 3

Abstract:

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CVA, netting, arbitrage, CVA implied volatility, CVA local volatility, Equity CVA, counterparty valuation adjustment

5.

CVA, DVA, LVA, FVA, CSA and What Else?

Number of pages: 23 Posted: 19 Mar 2013 Last Revised: 07 Jan 2016
Christian Kamtchueng
CTK corp
Downloads 181 (166,270)
Citation 1

Abstract:

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CVA, DVA, LVA, DVA, CSA, MLVA, credit risk, funding risk, liquidity risk

6.

Nothing is Clear about Clearing!

Number of pages: 17 Posted: 01 Apr 2015 Last Revised: 08 Nov 2015
Christian Kamtchueng and Simon Porcher
CTK corp and IAE Paris - Sorbonne Business School
Downloads 178 (168,791)

Abstract:

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Regulation, Central Clearing, Collateral

7.

FVA, Modelling and Netting Arbitrage - Introduction

Number of pages: 16 Posted: 09 Jan 2013 Last Revised: 07 Jan 2016
Christian Kamtchueng
CTK corp
Downloads 151 (194,382)
Citation 2

Abstract:

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FVA, netting, arbitrage, funding valuation adjustment, funding cost

8.

The CVA, Premium or Charge? CVA Call Hedging

Number of pages: 41 Posted: 15 Feb 2012 Last Revised: 12 Jan 2013
Christian Kamtchueng
CTK corp
Downloads 149 (196,463)
Citation 3

Abstract:

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CVA premium, CVA hedging, counterparty valuation adjustment

9.

Uncertain Monte Carlo

Number of pages: 35 Posted: 08 Feb 2011 Last Revised: 18 Jan 2013
Christian Kamtchueng
CTK corp
Downloads 133 (215,372)
Citation 2

Abstract:

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Uncertain Monte Carlo, Uncertain Monte Carlo Model, Uncertain Tree

10.

SPM Extension

Number of pages: 22 Posted: 26 Aug 2012 Last Revised: 17 Sep 2012
Christian Kamtchueng
CTK corp
Downloads 104 (259,745)

Abstract:

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Smile, Perfect, Match, Correlation Skew, Copula Model,SPM

11.

CVA Netting Arbitrage Introduction

Number of pages: 12 Posted: 23 May 2012 Last Revised: 15 May 2013
Christian Kamtchueng
CTK corp
Downloads 103 (259,745)
Citation 3

Abstract:

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CVA, netting arbitrage, wrong way risk, hedging, counterparty valuation adjustment

12.

Correlation, Where are You? Where are We? Update on Correlation Modeling

Number of pages: 7 Posted: 13 Sep 2014
Christian Kamtchueng
CTK corp
Downloads 102 (263,197)

Abstract:

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Correlation, Uncertain, Local Volatility, Local Correlation

13.

Rogue Trading or Directional Hedging? Information Relevance Theory

Number of pages: 12 Posted: 09 Sep 2014
Christian Kamtchueng
CTK corp
Downloads 96 (272,091)

Abstract:

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Black Scholes, Rogue Trader, Information, Filtration, Pricing, Kerviel, Adoboli

14.

Fully Liquidity Adjusted CVA

Number of pages: 27 Posted: 19 Mar 2013 Last Revised: 07 Jan 2016
Christian Kamtchueng
CTK corp
Downloads 95 (274,020)
Citation 1

Abstract:

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close out premium, CVA, Exposure, Liquidity, Risk, LVA, MLVA, FVA

15.

FVA, The Fake Debate: Why Are They Still Debating?

Number of pages: 11 Posted: 11 Jul 2014 Last Revised: 07 Jan 2016
Christian Kamtchueng
CTK corp
Downloads 80 (304,958)

Abstract:

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FVA, MLVA, funding valuation adjustment, debate

16.

CVA Implied Vol and Netting Arbitrage II Application

Number of pages: 15 Posted: 17 Feb 2012 Last Revised: 12 Nov 2012
Christian Kamtchueng
CTK corp
Downloads 70 (329,185)
Citation 1

Abstract:

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CVA Implied Vol, CVA Local Vol, CVA netting arbitrage, counterparty valuation adjustment

17.

Collateral and PDE

Number of pages: 21 Posted: 08 Jan 2016 Last Revised: 11 Jan 2016
Christian Kamtchueng
CTK corp
Downloads 65 (342,369)

Abstract:

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Collateral, Funding, PDE, Fear Pricing

18.
Downloads 47 (398,454)
Citation 1

Abstract:

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Black Scholes, Gyhkman, Information, Filtration, Pricing, Directional Hedging

19.

Multi Asset Heston Correlation

Number of pages: 16 Posted: 15 Feb 2012 Last Revised: 09 Aug 2013
Christian Kamtchueng
CTK corp
Downloads 46 (401,966)

Abstract:

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Heston, correlation

20.

Liquidation Process Optimisation and Swing Option

Number of pages: 12 Posted: 15 Dec 2015 Last Revised: 07 Jan 2016
Christian Kamtchueng
CTK corp
Downloads 45 (405,560)

Abstract:

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Collateral, Liquidation, Liquidity, Information, Regulatory

21.

Measure of the Information Relevance

Number of pages: 14 Posted: 08 Jan 2014 Last Revised: 23 Oct 2014
Christian Kamtchueng
CTK corp
Downloads 36 (440,578)
Citation 3

Abstract:

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Filtration, Information, Pricing

Other Papers (1)

Total Downloads: 28
1.

Wrong Way Risk and Jump to Default

Number of pages: 21 Posted: 16 Feb 2012 Last Revised: 08 Jan 2013
Christian Kamtchueng
CTK corp
Downloads 28

Abstract:

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Jump to default, Wrong Way Risk