Ahsan Amin

Infiniti Derivatives Technologies

Pakistan

  • Infiniti Derivatives Technologies

SCHOLARLY PAPERS

8

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13

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

  • Infiniti Derivatives Technologies

Scholarly Papers (8)

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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 1,718 (17,262)

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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 1,238 (28,227)

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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 953 (40,976)
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 936 (42,042)
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 707 (61,523)

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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.

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 620 (72,758)

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Ordinary Differential Equations

7.

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 515 (91,659)

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

8.

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 328 (153,832)

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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