Infiniti Derivatives Technologies
in Total Papers Downloads
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stochastic volatility, Fokker-Planck, Forward Kolmogorov, path integral, transition probabilities
Stochastic Calculus, Density of SDEs, Variance of SDEs, Stochastic Integrals
LIBOR Market Model, Forwarding Curve, Discount Curve, Swaption Pricing, Calibration, Basis Greeks, Stochastic Volatility, Stochastic Basis, Forward Curves
cross-currency LIBOR market models, PRDC, Bermudan callable derivatives, Least square monte carlo
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
Convection-Diffusion PDEs, Girsanov, Feynman-Kac Formula, Derivatives Pricing
Delta Greeks, Sensitivities, Callable LIBOR exotics, LMM, LIBOR Market Model, Regression methods
two curve LMM, funding cost, cost of funding, bilateral counterparty risk, credit valuation adjustment, collateral modeling, margining cost, close-out, re-hypothecation, default correlation
Convection Diffusion Partial Differential Equations, Kolmogorov PDE, Brownian Local Time, Stochastic Volatility, Girsanov Theorem
Ordinary Differential Equations
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