Peter Caspers

Acadia Inc.

United States

http://acadiasoft.com

SCHOLARLY PAPERS

21

DOWNLOADS
Rank 5,240

SSRN RANKINGS

Top 5,240

in Total Papers Downloads

10,226

SSRN CITATIONS
Rank 38,589

SSRN RANKINGS

Top 38,589

in Total Papers Citations

6

CROSSREF CITATIONS

14

Scholarly Papers (21)

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
Acadia Inc.
Downloads 1,422 (16,899)

Abstract:

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

2.

Implementation of the ZABR Model

Number of pages: 11 Posted: 19 Nov 2015 Last Revised: 25 Nov 2015
Peter Caspers
Acadia Inc.
Downloads 1,245 (20,629)

Abstract:

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ZABR model, QuantLib

3.

Jamshidian Swaption Formula Fine Tuned

Number of pages: 4 Posted: 07 Apr 2013 Last Revised: 05 May 2013
Peter Caspers
Acadia Inc.
Downloads 1,164 (22,784)

Abstract:

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One Factor Model, Hull White Model, Jamshidian Swaption Formula

4.

Fast Approximate Pricing for FX Target Redemption Forwards

Number of pages: 19 Posted: 17 May 2015
Peter Caspers
Acadia Inc.
Downloads 960 (30,105)

Abstract:

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

5.

Forecasting Initial Margin Requirements - A Model Evaluation

Number of pages: 36 Posted: 06 Feb 2017
Acadia Inc., Quaternion Risk Management, Quaternion Risk Management and AcadiaSoft
Downloads 917 (32,153)
Citation 17

Abstract:

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

6.

Farmer's CMS Spread Option Formula for Negative Rates

Number of pages: 4 Posted: 07 Nov 2015 Last Revised: 26 Feb 2018
Peter Caspers
Acadia Inc.
Downloads 877 (34,162)

Abstract:

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CMS spread option, shifted lognormal, normal, negative rates

7.

One Factor Gaussian Short Rate Model Implementation

Number of pages: 6 Posted: 15 Apr 2013
Peter Caspers
Acadia Inc.
Downloads 625 (54,005)
Citation 1

Abstract:

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One Factor Gaussian Short Rate Model, Hull White Model

8.

Black Scholes on One Slide

Number of pages: 2 Posted: 11 Mar 2012
Peter Caspers
Acadia Inc.
Downloads 518 (68,319)

Abstract:

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Black Scholes, FX option, Girsanov Theorem

9.

Daily Spread Curves and Ester

Number of pages: 7 Posted: 30 Dec 2019
Peter Caspers
Acadia Inc.
Downloads 500 (71,476)

Abstract:

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Ester, Rate Curve, Spread

10.

Zero Yield and Asset Swap Spreads

Number of pages: 5 Posted: 15 Jul 2014
Peter Caspers
Acadia Inc.
Downloads 347 (109,271)

Abstract:

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

11.

Representative Basket Method Applied

Number of pages: 12 Posted: 06 Sep 2013 Last Revised: 08 Nov 2013
Peter Caspers
Acadia Inc.
Downloads 307 (124,878)

Abstract:

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

12.

Libor Timing Adjustments

Number of pages: 4 Posted: 04 Nov 2012 Last Revised: 24 Aug 2015
Peter Caspers
Acadia Inc.
Downloads 305 (125,743)
Citation 2

Abstract:

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convexity adjustment, in arrears fixing, delayed payment

13.

Initial Margin Forecast - Bermudan Swaption Methodology and Case Study

Number of pages: 23 Posted: 08 Mar 2018
Peter Caspers and Roland Lichters
Acadia Inc. and Quaternion Risk Management
Downloads 217 (176,795)
Citation 3

Abstract:

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Initial Margin, IM, BCBS-IOSCO, SIMM, MVA, AD, AAD, XVA

14.

Matching the Bloomberg Curve S45 with QuantLib

Number of pages: 8 Posted: 27 Jul 2020
Peter Caspers and Andrea Palermo
Acadia Inc. and affiliation not provided to SSRN
Downloads 166 (224,457)

Abstract:

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Interest Rate Curve, Bloomberg

15.

Convexity Adjustments for the ASFR Model

Number of pages: 5 Posted: 05 Sep 2010 Last Revised: 13 Sep 2010
Peter Caspers
Acadia Inc.
Downloads 139 (259,702)

Abstract:

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

16.

Normal Libor in Arrears

Number of pages: 3 Posted: 12 Dec 2012 Last Revised: 13 Dec 2012
Peter Caspers
Acadia Inc.
Downloads 120 (290,089)
Citation 1

Abstract:

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In arrears fixing, convexity adjustment, normal black model

17.

Multitenor Volatilities

Number of pages: 7 Posted: 06 Sep 2013
Peter Caspers
Acadia Inc.
Downloads 117 (295,291)

Abstract:

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Tenor, Implied Volatility, Cap, Swaption

18.

Johnson Smiles

Number of pages: 5 Posted: 15 Feb 2018
Peter Caspers
Acadia Inc.
Downloads 96 (337,601)

Abstract:

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Volatility Smile, Johnson Transformation

19.

Backward Kiko Option Pricing

Number of pages: 10 Posted: 16 Sep 2021
Peter Caspers
Acadia Inc.
Downloads 74 (394,748)

Abstract:

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KIKO Option, Barrier Option, Transatlantic Option

20.

Extracting Call Probabilities from Pricing Models

Number of pages: 4 Posted: 17 Sep 2018
Peter Caspers
Acadia Inc.
Downloads 57 (451,522)

Abstract:

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Exercise Probabilities, Hull White Model

21.

Risky Floater Curve Risk

Number of pages: 5 Posted: 24 Feb 2013
Peter Caspers
Acadia Inc.
Downloads 53 (466,566)

Abstract:

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Floating Rate Note, Credit Risk, Interest Rate Curve Risk