Dominique R. A. Bang

Bank of America

France

SCHOLARLY PAPERS

3

DOWNLOADS
Rank 43,017

SSRN RANKINGS

Top 43,017

in Total Papers Downloads

1,216

SSRN CITATIONS

4

CROSSREF CITATIONS

1

Scholarly Papers (3)

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 563 (56,685)
Citation 1

Abstract:

Loading...

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 426 (80,448)
Citation 3

Abstract:

Loading...

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

3.

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 227 (158,549)

Abstract:

Loading...

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