Alvise De Col

Independent

No Address Available

SCHOLARLY PAPERS

4

DOWNLOADS

591

SSRN CITATIONS

1

CROSSREF CITATIONS

0

Scholarly Papers (4)

1.

Smiles All Around: FX Joint Calibration in a Multi-Heston Model

Journal of Banking and Finance, Forthcoming
Number of pages: 34 Posted: 09 Jan 2012 Last Revised: 10 Apr 2014
Independent, University of Verona - Department of Economics and University of Padova - Department of Mathematics
Downloads 270 (113,627)
Citation 1

Abstract:

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Forex, Calibration, Multi-Heston model, triangular relation

2.

The Interplay between Stochastic Volatility and Correlations in Equity Autocallables

Number of pages: 10 Posted: 20 Aug 2018
Alvise De Col and Patrick Kuppinger
Independent and Independent
Downloads 192 (158,885)

Abstract:

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Autocallables, Stochastic Local Volatility, Correlation, Worst-Of

3.

FX Correlation Swap: Problemsolver or Troublemaker?

Draft version of paper that appeared in Risk, February, pages 78-83, 2018.
Number of pages: 10 Posted: 21 Aug 2018
Alvise De Col and Patrick Kuppinger
Independent and Independent
Downloads 109 (251,633)

Abstract:

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FX, Correlation Swap, Stochastic Local Correlation

4.

Pricing Multi-Dimensional FX Derivatives Via Stochastic Local Correlations

Wilmott Magazine, no. 73, pp. 72-77, 2014
Number of pages: 10 Posted: 21 Aug 2018
Alvise De Col and Patrick Kuppinger
Independent and Independent
Downloads 20 (525,880)

Abstract:

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FX, Heston, Stochastic Local Correlation