Rotterdam 3011 AA
Netherlands
Cardano Risk Management
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Stochastic volatility, Heston, square root process, CEV process, Euler-Maruyama, discretisation, strong convergence, weak convergence, boundary behaviour
Stochastic volatility, Stochastic interest rates, Schöbel-Zhu, Hull-White, Foreign Exchange, Forward starting options
Option pricing, Fourier inversion, Carr-Madan, Heston, stochastic volatility, characteristic function, damping, saddlepoint approximations
Asian option, average price option, basket option, lower bound, upper bound, analytical approximation, moment matching
Option pricing , Bermudan options, American options, convolution, Lévy processes, Fast Fourier Transform
Complex logarithm, affine jump-diffusion, stochastic volatility, Heston, characteristic function, option pricing, Fourier inversion, Variance Gamma, Schöbel-Zhu,exact simulation
Complex logarithm, affine jump-diffusion, stochastic volatility, Heston, characteristic function, moment stability, option pricing
Principal components analysis, correlation matrix, total positivity, oscillation matrix, Schoenmakers-Coffey matrix
Stochastic volatility, Stochastic interest rates, Schöbel-Zhu, Heston, Hull-White, discretisation
Stochastic Volatility, Stochastic Interest Rates, Schöbel-Zhu, Heston, Hull-White, Discretisation
LIBOR market model, variance reduction, control variates, Monte Carlo, Bermudans, callable derivatives, Longstaff-Schwartz
Complex logarithm, stochastic volatility, Heston, characteristic function
FTK, Requlatory Capital Requirement
