Matthias Thul

Commerzbank AG

Equity Derivatives Desk Quant

Mainzer Landstr. 153

Frankfurt am Main, Hessen 60486

Germany

SCHOLARLY PAPERS

2

DOWNLOADS

296

CITATIONS

0

Scholarly Papers (2)

1.

Analytical Option Pricing under an Asymmetrically Displaced Double Gamma Jump-Diffusion Model

26th Australasian Finance and Banking Conference 2013
Number of pages: 46 Posted: 18 Aug 2013 Last Revised: 01 May 2014
Matthias Thul and Ally Quan Zhang
Commerzbank AG and University of Zurich - Department of Banking and Finance
Downloads 135 (131,136)

Abstract:

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displaced tails, jump-diffusion, option pricing, maximum likelihood estimation

2.

How Much Is the Gap? Efficient Jump Risk-Adjusted Valuation of Leveraged Certificates

Quantitative Finance, Forthcoming
Number of pages: 49 Posted: 02 Feb 2014 Last Revised: 26 Feb 2017
Ally Quan Zhang and Matthias Thul
University of Zurich - Department of Banking and Finance and Commerzbank AG
Downloads 0 (234,452)

Abstract:

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leveraged certificates, barrier options, overnight gap, risk management