Peter Caspers

Quaternion Risk Management

54 Fitzwilliam Square North

Dublin, D02X308

Ireland

http://www.quaternion.com

SCHOLARLY PAPERS

15

DOWNLOADS
Rank 9,358

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Top 9,358

in Total Papers Downloads

3,865

CITATIONS

0

Scholarly Papers (15)

1.

Markov Functional One Factor Interest Rate Model Implementation in QuantLib

Number of pages: 16 Posted: 02 Dec 2012 Last Revised: 21 Apr 2013
Peter Caspers
Quaternion Risk Management
Downloads 571 (20,194)

Abstract:

Markov functional model, Interest rate model, Exotic interest rate derivative, Pricing

2.

Black Scholes on One Slide

Number of pages: 2 Posted: 11 Mar 2012
Peter Caspers
Quaternion Risk Management
Downloads 302 (69,324)

Abstract:

Black Scholes, FX option, Girsanov Theorem

3.

Jamshidian Swaption Formula Fine Tuned

Number of pages: 4 Posted: 07 Apr 2013 Last Revised: 05 May 2013
Peter Caspers
Quaternion Risk Management
Downloads 241 (54,240)

Abstract:

One Factor Model, Hull White Model, Jamshidian Swaption Formula

4.

Zero Yield and Asset Swap Spreads

Number of pages: 5 Posted: 15 Jul 2014
Peter Caspers
Quaternion Risk Management
Downloads 162 (92,070)

Abstract:

Asset Swap Spread, Zero Yield Spread, Credit Risk, Risky Securities

5.

Fast Approximate Pricing for FX Target Redemption Forwards

Number of pages: 19 Posted: 17 May 2015
Peter Caspers
Quaternion Risk Management
Downloads 132 (61,500)

Abstract:

American Monte Carlo, FX TaRF, XVA, CVA, DVA, FVA, Exotic Derivative

6.

Libor Timing Adjustments

Number of pages: 4 Posted: 04 Nov 2012 Last Revised: 24 Aug 2015
Peter Caspers
Quaternion Risk Management
Downloads 109 (141,620)

Abstract:

convexity adjustment, in arrears fixing, delayed payment

7.

One Factor Gaussian Short Rate Model Implementation

Number of pages: 6 Posted: 15 Apr 2013
Peter Caspers
Quaternion Risk Management
Downloads 101 (138,684)

Abstract:

One Factor Gaussian Short Rate Model, Hull White Model

8.

Convexity Adjustments for the ASFR Model

Number of pages: 5 Posted: 05 Sep 2010 Last Revised: 13 Sep 2010
Peter Caspers
Quaternion Risk Management
Downloads 97 (202,058)

Abstract:

ASFR Model, Credit Risk, Value at Risk, Nonlinear Estimator, Convexity Adjustment

9.

Normal Libor in Arrears

Number of pages: 3 Posted: 12 Dec 2012 Last Revised: 13 Dec 2012
Peter Caspers
Quaternion Risk Management
Downloads 67 (235,451)

Abstract:

In arrears fixing, convexity adjustment, normal black model

10.

Multitenor Volatilities

Number of pages: 7 Posted: 06 Sep 2013
Peter Caspers
Quaternion Risk Management
Downloads 65 (216,343)

Abstract:

Tenor, Implied Volatility, Cap, Swaption

11.

Representative Basket Method Applied

Number of pages: 12 Posted: 06 Sep 2013 Last Revised: 08 Nov 2013
Peter Caspers
Quaternion Risk Management
Downloads 55 (189,270)

Abstract:

One Factor Interest Rate Model, Model Calibration, Non Standard Swaption

12.

Risky Floater Curve Risk

Number of pages: 5 Posted: 24 Feb 2013
Peter Caspers
Quaternion Risk Management
Downloads 28 (355,821)

Abstract:

Floating Rate Note, Credit Risk, Interest Rate Curve Risk

13.

Forecasting Initial Margin Requirements - A Model Evaluation

Number of pages: 36 Posted: 06 Feb 2017
Quaternion Risk Management, Quaternion Risk Management, Quaternion Risk Management and Quaternion Risk Management
Downloads 0 (216,343)

Abstract:

Initial Margin, BCBS-IOSCO, SIMM, MVA, XVA, CCP

14.

Implementation of the ZABR Model

Number of pages: 11 Posted: 19 Nov 2015 Last Revised: 25 Nov 2015
Peter Caspers
Quaternion Risk Management
Downloads 0 (60,301)

Abstract:

ZABR model, QuantLib

15.

Farmer's CMS Spread Option Formula for Negative Rates

Number of pages: 5 Posted: 07 Nov 2015
Peter Caspers
Quaternion Risk Management
Downloads 0 (64,515)

Abstract:

CMS spread option, shifted lognormal, normal, negative rates