Matteo Michielon

ABN AMRO Bank N.V.

Gustav Mahlerlaan 10

Amsterdam, 1082 PP

Netherlands

SCHOLARLY PAPERS

2

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Scholarly Papers (2)

1.

Cash-Settled Swaptions: A New Pricing Model

Number of pages: 13 Posted: 27 Sep 2017 Last Revised: 18 Jul 2019
Raoul Pietersz, Frank Sengers and Matteo Michielon
ABN AMRO, VU University Amsterdam and ABN AMRO Bank N.V.
Downloads 797 (31,181)

Abstract:

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Cash-Settled Swaption, Zero-Wide Collar, Black Model, Bachelier Model, SABR, Shifted Log-Normal

2.

Conic CVA and DVA for Option Portfolios

Number of pages: 24 Posted: 07 Jul 2017 Last Revised: 25 Sep 2017
Sjoerd van Bakel, Svetlana Borovkova and Matteo Michielon
ABN AMRO Bank N.V., Vrije Universiteit Amsterdam - Faculty of Economics and Business Administration and ABN AMRO Bank N.V.
Downloads 87 (300,514)
Citation 1

Abstract:

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Conic Finance, CVA, DVA, bid and ask pricing, liquidity, futures options, distortion function