Othmane Islah

Lloyds Banking Group

10 Gresham Street

London, EC2V 7AE

United Kingdom

Quantuply Ltd

London

United Kingdom

SCHOLARLY PAPERS

4

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Scholarly Papers (4)

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1.

Solving SABR in Exact Form and Unifying it with LIBOR Market Model

Number of pages: 41 Posted: 19 Oct 2009
Othmane Islah
Lloyds Banking Group
Downloads 2,000 (14,100)
Citation 36

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SABR model, stochastic volatility, CEV model, Bessel process, European option pricing,mixing approach, hypergeometric functions, modified Bessel functions, joint density of Geometric Brownian motion and its path integral, LIBOR Market Model, Stochastic Volatility LIBOR model, Term structure of skew

2.

Heun Solutions to the SABR Model

Number of pages: 17 Posted: 18 Jan 2011
Othmane Islah
Lloyds Banking Group
Downloads 468 (106,395)
Citation 1

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SABR Model, Stochastic Volatility Models, Fuschian Differential Equation, Heun Equation, Feller Test, Green Functions

3.

Revising SA-CCR

Number of pages: 20 Posted: 25 Feb 2019 Last Revised: 10 Apr 2019
Mourad Berrahoui, Othmane Islah and Chris Kenyon
Lloyds Banking Group, Lloyds Banking Group and MUFG Securities EMEA plc
Downloads 238 (220,392)
Citation 2

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Regulation, Capital, SA-CCR, Counterparty Credit Risk, Hull-White, Gaussian Market Model

4.

Technical Appendix To: From SA-CCR to RSA-CCR: Making SA-CCR Self-Consistent and Appropriately Risk-Sensitive by Cashflow Decomposition in a 3-Factor Gaussian Market Model

Number of pages: 20 Posted: 25 Feb 2019
Mourad Berrahoui, Othmane Islah and Chris Kenyon
Lloyds Banking Group, Lloyds Banking Group and MUFG Securities EMEA plc
Downloads 87 (492,287)
Citation 1

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Capital, Regulation, SA-CCR, Counterparty Credit Risk, Basel III