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Brooklyn, NY 11201
United States
http://engineering.nyu.edu/people/peter-paul-carr
New York University Finance and Risk Engineering
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Stochastic volatility, variance risk premia, variance swap, volatility swap, option pricing, expectation hypothesis
Implied volatility surface; Option realized volatility; Expected volatility surface; Volatility risk premium; Vega-gamma-vanna-volga; Proportional variance dynamics
Stock options, credit default swaps, default arrival rate, return variance dynamics, option pricing, time-changed Levy processes
Static hedging, jumps, option pricing, Monte Carlo, S&P 500 index options, stochastic volatility
Option pricing, implied volatility, leverage effect, volatility feedback, self-exciting, market disruptions, jumps, constant elasticity of variance, time-changed Levy processes, Fast Fourier Transform, Gauss-Hermite quadrature, unscented Kalman filter
volatility index; variance swap; volatility swap
Black-Scholes, variance gamma model, skew, kurtosis, volatility smile, option pricing, equity options, time changed Brownian motion
Currency options, Foreign exchange dynamics; Stochastic skew; Stochastic volatility; Time-changed Levy processes.
Qubit, quantum computer, optimal trading trajectory, portfolio optimization, quantum annealing
FX, options, target zone, attainable boundaries, Brownian motion, volatility, drift, reflecting barriers
Stochastic time change, Levy processes, subordination, characteristic functions, option pricing, exponential martingales, measure change.
Trading, optimization, backtesting, overfitting, simulation
Options on Variance Swaps, Options on Time Changes, Self Decomposability and its Hierarchy
Stock options, American puts, unit recovery claims, credit default swaps, default probabilities
Stochastic discount factors, international economy, stochastic risk premium
hHeston, hedging, variance swaps, CDS, jump to default
Hunt Processes, Persistent Skewness, Convolution Transforms
Profit and Loss Attribution; Delta; Vega; Vanna; Volga; Implied Volatility Term Structure; Implied Volatility Smile
Currency options, sovereign credit default swaps, default arrival rate, return variance dynamics, credit spread term structure modeling, option pricing, time-changed Levy process.
martingale, jump-di ffusion, partial diff erential equation, calibration, option
martingale, marginal distribution, diffusion, jump-diffusion, calibration, option, time change
Hazard Rates, CDS Curves, Weibull Distribution, VGSSD Sato Process
Asian options, volatility, vega, duration, qualitative risk-management
reverse martingale, quadratic variation, stochastic volatility
Acceptable Risks, Bid and Ask Prices, Variance Gamma Model, Variance Swaps
Reduced-Form Modeling, Counterparty Risk, Wrong Way Risk, Credit Value Adjustment, Basel III
Acceptable Risks, Probability Distortions, Variance Gamma Model
This is a Risk Journals paper. Risk Journals charges $73.00 .
File name: SSRN-id3054435.pdf Size: 579K
If you wish to purchase the right to make copies of this paper for distribution to others, please select the quantity.
Asset Pricing, Reduced-Form Modeling, Counterparty Risk, Wrong-Way Risk (WWR), Credit Value Adjustment (CVA)
Completely monotone function, Gauss Laguerre quadrature, Gap Risk Pricing
robust pricing, robust hedging, knock-in, knock-out, rebate, barrier, quadratic variation
This is a Wiley-Blackwell Publishing paper. Wiley-Blackwell Publishing charges $42.00 .
File name: mafi.pdf Size: 267K
File name: mafi.pdf Size: 418K
File name: mafi.pdf Size: 491K
File name: j-9965.pdf Size: 276K
variance swap, basket option, stochastic volatility
File name: MAFI.pdf Size: 0K
exact calibration, implied smile, local variance gamma
File name: SSRN-id2815431.pdf Size: 514K
completely monotone function, Gauss Laguerre quadrature, gap risk pricing, beta exposure pricing, CGMY model, negative binomial process
G10, G12, G13
Levy process, market completeness, stochastic duality, option pricing, variance gamma model
