Markus Trahe

Credit Suisse AG

Quantitative Analyst

Uetlibergstrasse 231

Zürich, 8045

Switzerland

SCHOLARLY PAPERS

2

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Scholarly Papers (2)

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1.

Efficient Simulation of the Multi Asset Heston Model

Number of pages: 19 Posted: 11 Feb 2016 Last Revised: 15 Feb 2016
Marco de Innocentis, Roland Lichters and Markus Trahe
Credit Suisse Securities (Europe) Limited, Quaternion Risk Management and Credit Suisse AG
Downloads 354 (90,631)

Abstract:

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Heston, multi asset, Monte Carlo, efficient simulation, numerical scheme, option pricing

2.

A Multi Interest Rate Curve Model for Exposure Modelling

Number of pages: 27 Posted: 18 Nov 2016
Boldin Andreas, Roland Lichters, Süss André and Markus Trahe
Credit Suisse AG, Quaternion Risk Management, Credit Suisse AG and Credit Suisse AG
Downloads 250 (131,379)

Abstract:

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exposure modelling, interest rates, stochastic basis, Hull-White, multi factor model