Frank Koster

DGZ-DekaBank

Mainzer Landstr. 16

D-60325 Frankfurt

Germany

SCHOLARLY PAPERS

6

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6

Scholarly Papers (6)

1.

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

Number of pages: 21 Posted: 26 Apr 2011 Last Revised: 13 Feb 2012
Bernd Engelmann, Frank Koster and Daniel Oeltz
Ho Chi Minh City Open University, DGZ-DekaBank and Independent
Downloads 726 (35,500)
Citation 10

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Heston Model, Local Volatility Model, Finite Volume Scheme

Monte-Carlo Payoff-Smoothing for Pricing Autocallable Instruments

Number of pages: 23 Posted: 05 May 2015 Last Revised: 09 Jun 2015
Frank Koster and Achim Rehmet
DGZ-DekaBank and DGZ-DekaBank
Downloads 384 (78,726)

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Monte Carlo Simulation, Pricing, Greeks, Variance Reduction, Payoff-Smoothing, Importance-Sampling, Auto-Callable, Trigger Product

Monte Carlo Payoff Smoothing for Pricing Autocallable Instruments

Journal of Computational Finance, Vol. 21, No. 4, 2018
Number of pages: 20 Posted: 12 Feb 2018
Frank Koster and Achim Rehmet
DGZ-DekaBank and DGZ-DekaBank
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Monte Carlo, autocallable, payoff smoothing, finite-difference Greeks, importance sampling, path recycling.

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 130 (227,821)

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gap risk, barrier management, overhedging

4.

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 129 (229,165)

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

5.

A Simple Local Correlation Model

Number of pages: 12 Posted: 25 Oct 2018
Frank Koster
DGZ-DekaBank
Downloads 14 (578,544)

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

6.

A Pairwise Local Correlation Model

Journal of Computational Finance, Forthcoming
Number of pages: 25 Posted: 17 Jan 2019
Frank Koster and Daniel Oeltz
DGZ-DekaBank and RIVACON
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local correlation, Monte Carlo, Gyongy’s theorem, pairwise correlation, local in index correlation, Markovian projection.