Ahsan Amin

Infiniti Derivatives Technologies

Pakistan

SCHOLARLY PAPERS

12

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7,528

SSRN CITATIONS
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in Total Papers Citations

0

CROSSREF CITATIONS

13

Ideas:
“  I am working on semi-analytic solution to Fokker-Planck equation.  ”

Scholarly Papers (12)

1.

Solution of Stochastic Volatility Models Using Variance Transition Probabilities and Path Integrals

Number of pages: 25 Posted: 20 Sep 2012 Last Revised: 13 Nov 2012
Ahsan Amin
Infiniti Derivatives Technologies
Downloads 1,662 (9,917)

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stochastic volatility, Fokker-Planck, Forward Kolmogorov, path integral, transition probabilities

2.

Stochastic Calculus of Standard Deviations: An Introduction

Number of pages: 29 Posted: 10 Oct 2013
Ahsan Amin
Infiniti Derivatives Technologies
Downloads 1,204 (16,516)

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Stochastic Calculus, Density of SDEs, Variance of SDEs, Stochastic Integrals

3.

Calibration, Simulation and Hedging in a Heston Libor Market Model with Stochastic Basis

Number of pages: 26 Posted: 08 Nov 2010
Ahsan Amin
Infiniti Derivatives Technologies
Downloads 881 (26,192)
Citation 4

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LIBOR Market Model, Forwarding Curve, Discount Curve, Swaption Pricing, Calibration, Basis Greeks, Stochastic Volatility, Stochastic Basis, Forward Curves

4.

Multi-Factor Cross Currency Libor Market Models: Implementation, Calibration and Examples

Number of pages: 14 Posted: 10 Aug 2008
Ahsan Amin
Infiniti Derivatives Technologies
Downloads 813 (29,280)
Citation 13

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cross-currency LIBOR market models, PRDC, Bermudan callable derivatives, Least square monte carlo

5.

Hybrid Equity, FX, and Interest Rate Models with Stochastic Volatility and Jump Diffusion

Number of pages: 15 Posted: 02 Jan 2011 Last Revised: 07 Feb 2011
Ahsan Amin
Infiniti Derivatives Technologies
Downloads 648 (39,870)

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Foreign-Exchange (FX);Equities, Stochastic Volatility, Heston Model, Jump Diffusion, Stochastic Interest Rates, Interest Rate Smile, Forward Characteristic Function, Hybrids, Affine Diffusion, Efficient Calibration, BGM, LIBOR Market Model

6.
Downloads 588 (45,442)

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Convection-Diffusion PDEs, Girsanov, Feynman-Kac Formula, Derivatives Pricing

7.

On the General Solution of Initial Value Problems of Ordinary Differential Equations Using the Method of Iterated Integrals

Number of pages: 32 Posted: 26 Nov 2016 Last Revised: 25 Jan 2017
Ahsan Amin
Infiniti Derivatives Technologies
Downloads 534 (51,316)

Abstract:

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Ordinary Differential Equations

8.

Calculating Delta Greeks of Callable Exotics in the LMM: A New Approach

Number of pages: 19 Posted: 28 Nov 2009 Last Revised: 24 Feb 2010
Ahsan Amin
Infiniti Derivatives Technologies
Downloads 476 (59,435)

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Delta Greeks, Sensitivities, Callable LIBOR exotics, LMM, LIBOR Market Model, Regression methods

9.

Pricing Bermudan Callable Derivatives with Default, Collateral Margining, Funding and Investment Costs

Number of pages: 25 Posted: 16 May 2012
Ahsan Amin
Infiniti Derivatives Technologies
Downloads 306 (99,332)

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two curve LMM, funding cost, cost of funding, bilateral counterparty risk, credit valuation adjustment, collateral modeling, margining cost, close-out, re-hypothecation, default correlation

10.

Solution of Convection-Diffusion Partial Differential Equations Using Girsanov Theorem and Conditional Brownian Local Time

Number of pages: 8 Posted: 22 Feb 2013
Ahsan Amin
Infiniti Derivatives Technologies
Downloads 253 (121,565)

Abstract:

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Convection Diffusion Partial Differential Equations, Kolmogorov PDE, Brownian Local Time, Stochastic Volatility, Girsanov Theorem

11.
Downloads 108 (253,073)

Abstract:

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Monte Carlo, Stochastic Differential Equations, Simulation, Stochastic Integrals

12.
Downloads 55 (374,577)

Abstract:

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Stochastic Differential Equations, Transition Probabilities, Conditional Probabilities, Monte Carlo