Manuel Wittke

Deloitte & Touche - Financial Risk Solutions

Germany

SCHOLARLY PAPERS

5

DOWNLOADS
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Top 46,413

in Total Papers Downloads

990

SSRN CITATIONS

0

CROSSREF CITATIONS

1

Scholarly Papers (5)

1.

Option Valuation in Multivariate SMM/SABR Models (with an Application to the CMS Spread)

Number of pages: 27 Posted: 11 Sep 2009 Last Revised: 30 Jun 2010
Joerg Kienitz and Manuel Wittke
University of Wuppertal - Applied Mathematics and Deloitte & Touche - Financial Risk Solutions
Downloads 591 (48,982)
Citation 3

Abstract:

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SMM, SABR model, CMS, CMS Spread, Gyöngy Lemma, Markovian Projection, Displaced diffusion

2.

Convexity Correction by a Finite Replication Portfolio

Number of pages: 31 Posted: 30 Jun 2010
Manuel Wittke
Deloitte & Touche - Financial Risk Solutions
Downloads 308 (106,626)

Abstract:

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CMS, Convexity Correction, SABR Model, Replication Portfolio

3.

Basket CMS Derivatives in Term Structure Market Models with Stochastic Volatility

Number of pages: 21 Posted: 22 Dec 2012
Joerg Kienitz, Peter Schuetterle and Manuel Wittke
University of Wuppertal - Applied Mathematics, E.on Energy Trading and Deloitte & Touche - Financial Risk Solutions
Downloads 91 (304,204)

Abstract:

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Libor Market Model, Stochastic Volatility, CMS, Markovian Projection, Parameter Averaging, Spread Options

4.

Model Risk Using Stochastic Volatility and Levy Models

Posted: 31 Mar 2012
Manuel Wittke and Joerg Kienitz
Deloitte & Touche - Financial Risk Solutions and University of Wuppertal - Applied Mathematics

Abstract:

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Stochastic Volatility, Levy Models, FFT, Hedge Strategies, Calibration, Exotic Options

5.

It's Your Choice: A Unified Approach to Chooser Options

International Journal of Theoretical and Applied Finance (IJTAF), 2010
Posted: 08 Jun 2010 Last Revised: 09 Jun 2010
Klaus Sandmann and Manuel Wittke
University of Bonn - The Bonn Graduate School of Economics and Deloitte & Touche - Financial Risk Solutions

Abstract:

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Option pricing and hedging, interest rate risk, exchange rate risk, change of numeraire