Didier Youmbi

HSBC (London)

Fourth Floor, 8 Canada Square

Canary Wharf, London, E14 5HQ

United Kingdom

SCHOLARLY PAPERS

9

DOWNLOADS
Rank 29,011

SSRN RANKINGS

Top 29,011

in Total Papers Downloads

2,209

SSRN CITATIONS

0

CROSSREF CITATIONS

2

Scholarly Papers (9)

1.

Derivatives Pricing after the 2007-2008 Crisis: How the Crisis Changed the Pricing Approach

Number of pages: 30 Posted: 19 Oct 2014 Last Revised: 20 Sep 2017
Didier Youmbi
HSBC (London)
Downloads 804 (39,323)
Citation 1

Abstract:

Loading...

CSA, collateral, CVA, credit, exposure,Wrong-Way Risk (WWR), Right-Way Risk (RWR), yield curve, DVA, FVA, zero-coupon bond, rate, hazard rate, interest rate swap, cross currency swap, collateral basis, FX swap, Libor, OIS, hull and white, CIR, lognormal

2.

Pricing of Options on Forward Bonds and Constant Maturity Treasury (CMT): A Monte Carlo Approach

Number of pages: 31 Posted: 19 Apr 2012 Last Revised: 29 Oct 2013
Didier Youmbi
HSBC (London)
Downloads 398 (95,156)

Abstract:

Loading...

interest rate, bonds, recovery rate, survival probability, hazard rate function, yield to maturity, CMS, CMT, volatility, convexity adjustment, martingale

3.

A Short Note on Volatility Models

Number of pages: 12 Posted: 01 Jun 2013
Didier Youmbi
HSBC (London)
Downloads 380 (100,415)
Citation 1

Abstract:

Loading...

Volatility, Black and Scholes, Local Volatility, Stochastic Volatility, Local Stochastic Volatility, Black and Scholes, Dupire, Lipton, Labordere

4.

Pricing of CDS, BOND and CDO

Number of pages: 21 Posted: 01 Jun 2013
Didier Youmbi
HSBC (London)
Downloads 187 (205,920)

Abstract:

Loading...

credit derivatives, CDS, bond, CDO, default probability, rates, spreads, Andersen recursive algorithm

5.

Implementation of the Free Boundary SABR Model

Number of pages: 19 Posted: 05 Jul 2017
Didier Youmbi
HSBC (London)
Downloads 152 (245,653)

Abstract:

Loading...

Interest Rate, Swaptions, SABR, free boundary, probability density function, implied volatility, normal volatility, Black Volatility, Libor Market Model (LMM), Hagan

6.

Building the Markowitz Efficient Frontier

Number of pages: 20 Posted: 09 Aug 2017 Last Revised: 15 Aug 2017
Didier Youmbi
HSBC (London)
Downloads 119 (296,486)

Abstract:

Loading...

Markowitz, Efficient Frontier, Asset Allocation, Asset Manager, Portfolio, Return, Yield, Volatility, Correlation Matrix, Covariance, CAL, CAPM, Optimal, Optimisation, Minimisation, Maximisation, Gradient, Hessian, Jacobian, Newton Algorithm, Interior Point Method, Barrier Method, Central Path

7.

Forward at the Money Forward Implied Volatility and Forward Underlying Move Estimations

Number of pages: 18 Posted: 12 Jul 2016
Didier Youmbi
HSBC (London)
Downloads 111 (311,422)

Abstract:

Loading...

Brexit, stochastic volatility, implied volatility, referendum, black and scholes, jump, expected depreciation, straddle

8.

What Convention for the Sonia Rate Capitalisation?

Number of pages: 16 Posted: 01 Mar 2018
Didier Youmbi
HSBC (London)
Downloads 37 (545,760)

Abstract:

Loading...

Libor, Sonia, Interest rate, mid-term, short-term, Hull and White, capitalisation convention, Simple Averaging, compounded rate

9.

A Useful Tool for Market Analysis

Number of pages: 16 Posted: 12 Jul 2016
Didier Youmbi
HSBC (London)
Downloads 21 (643,320)

Abstract:

Loading...

correlation matrix, cholesky decomposition, conditional expectation