Dominique R. A. Bang

Bank of America

France

SCHOLARLY PAPERS

4

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4,376

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8

Scholarly Papers (4)

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1.

Local-Stochastic Volatility for Vanilla Modeling: A Tractable and Arbitrage Free Approach to Option Pricing

Number of pages: 21 Posted: 17 May 2018 Last Revised: 02 Feb 2019
Dominique R. A. Bang
Bank of America
Downloads 1,486 (27,668)
Citation 1

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Local, Stochastic, Volatility, SABR, Heston, Option Pricing, Vanilla, Lamperti, Closed Form, Arbitrage-Free, Swaption

2.

Spike Modeling for Interest Rate Derivatives with an Application to SOFR Caplets

Number of pages: 59 Posted: 17 Nov 2020
Leif B. G. Andersen and Dominique R. A. Bang
Bank of America and Bank of America
Downloads 1,444 (29,002)
Citation 6

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Libor Benchmark Reform, SOFR, Repo Rates, Short-Term Rate Spikes, Caplets, Markov Chains

3.

Modelling of CMS-Linked Products in an RFR framework, with Extension to Hybrids, Forward Starting and Canary Options

Number of pages: 22 Posted: 21 Jun 2022 Last Revised: 24 Jun 2022
Dominique R. A. Bang and Elias Daboussi
Bank of America and Bank of America
Downloads 1,114 (42,270)
Citation 1

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Swaptions, CMS, CMS Options, CMS Spread-Options, Forward Smile, Canary Options, LIBOR Reform

4.

Applications of Periodic and Quasi-Periodic Expansions to Option Pricing

Number of pages: 17 Posted: 14 Feb 2011
Dominique R. A. Bang
Bank of America
Downloads 332 (193,917)

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Option Pricing, Transform Methods, Characteristic Function, Fourier Series, Fourier Integral, Discrete, Continuum, Calibration, Heston, FFT, COS Method, Cosine, European Options