Ahsan Amin

Infiniti Derivatives Technologies

Pakistan

SCHOLARLY PAPERS

10

DOWNLOADS
Rank 4,954

SSRN RANKINGS

Top 4,954

in Total Papers Downloads

7,065

CITATIONS
Rank 30,871

SSRN RANKINGS

Top 30,871

in Total Papers Citations

7

Scholarly Papers (10)

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 1,499 (8,234)

Abstract:

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 1,107 (13,662)

Abstract:

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 759 (23,119)
Citation 1

Abstract:

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 690 (26,509)
Citation 6

Abstract:

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 555 (35,080)

Abstract:

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 532 (39,259)

Abstract:

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

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 442 (50,073)

Abstract:

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 271 (84,449)

Abstract:

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

9.

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 208 (104,680)

Abstract:

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

10.

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 0 (47,158)

Abstract:

Ordinary Differential Equations