Daniel Oeltz

Independent

SCHOLARLY PAPERS

3

DOWNLOADS

1,202

SSRN CITATIONS

0

CROSSREF CITATIONS

6

Scholarly Papers (3)

1.

Calibration of the Heston Stochastic Local Volatility Model: A Finite Volume Scheme

Number of pages: 21 Posted: 26 Apr 2011 Last Revised: 09 Jun 2020
Bernd Engelmann, Frank Koster and Daniel Oeltz
Ho Chi Minh City Open University, DGZ-DekaBank and Independent
Downloads 844 (46,417)
Citation 12

Abstract:

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Heston Stochastic Local Volatility Model, Heston Model, Local Volatility Model, Derivatives Pricing, Finite Volume Scheme

2.

A Universal Pairwise Local Correlation Model

Number of pages: 27 Posted: 19 Apr 2016 Last Revised: 16 Sep 2017
Frank Koster and Daniel Oeltz
DGZ-DekaBank and Independent
Downloads 201 (240,736)

Abstract:

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local correlation, path-dependent volatility, path-dependent correlation, calibration, particle method

3.

A Generic Approach to Manage Gap Risk

Number of pages: 5 Posted: 10 Jan 2012
Daniel Oeltz and Frank Koster
Independent and DGZ-DekaBank
Downloads 157 (298,738)

Abstract:

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gap risk, barrier management, overhedging