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Local volatility
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61	PDF Document Add to Reading List Source URL: media.wiley.com Language: English - Date: 2014-04-14 07:16:10 Options Investment Stochastic volatility Implied volatility Local volatility Volatility Correlation trading Variance swap Black–Scholes Mathematical finance Financial economics Finance
62	PDF Document Add to Reading List Source URL: media.wiley.com Language: English - Date: 2014-04-14 07:16:10 Options Investment Implied volatility Stochastic volatility VIX Volatility Local volatility Variance swap Black–Scholes Financial economics Mathematical finance Finance
63	PRICING EQUITY DEFAULT SWAPS CLAUDIO ALBANESE AND OLIVER CHEN Abstract. Pricing credit-equity hybrids is a challenging task as the established pricing methodologies for equity options and credit derivatives are quite dif Add to Reading List Source URL: www.albanese.co.uk Language: English - Date: 2014-03-17 15:14:19 Mathematical finance United States housing bubble Options Credit default swap Derivative Credit derivative Stochastic volatility Convertible bond Local volatility Financial economics Finance Investment
64	A stochastic volatility model for callable CMS swaps and translation invariant path dependent derivatives Claudio Albanesey Manlio Trovatoz Add to Reading List Source URL: www.albanese.co.uk Language: English - Date: 2014-03-17 15:14:25 Financial economics Markov chain Volatility Local volatility Implied volatility Short-rate model Discretization Stochastic process Stochastic volatility Mathematical finance Statistics Mathematical sciences
65	A STRUCTURAL MODEL FOR CREDIT-EQUITY DERIVATIVES AND BESPOKE CDOS CLAUDIO ALBANESE AND ALICIA VIDLER Abstract. We present a new structural model for single name equity and credit derivatives which we also correlate acros Add to Reading List Source URL: www.albanese.co.uk Language: English - Date: 2014-03-17 15:14:17 Investment Volatility smile Volatility Local volatility Implied volatility Stochastic volatility Collateralized debt obligation Derivative Path integral formulation Mathematical finance Financial economics Finance
66	A stochastic monetary policy interest rate model Claudio Albanese Manlio Trovato [removed] Add to Reading List Source URL: www.albanese.co.uk Language: English - Date: 2014-03-17 15:14:23 Options Markov models Stochastic processes Markov chain Continuous-time Markov process Volatility smile Local volatility Stochastic volatility Matrix Statistics Mathematical finance Markov processes
67	A STOCHASTIC VOLATILITY MODEL FOR RISK-REVERSALS IN FOREIGN EXCHANGE ´ CLAUDIO ALBANESE AND ALEKSANDAR MIJATOVIC Abstract. It is a widely recognised fact that risk-reversals play a central role in pricing of derivatives Add to Reading List Source URL: www.albanese.co.uk Language: English - Date: 2014-03-17 15:14:20 Options Finance Stochastic processes Markov models Technical analysis Volatility Stochastic volatility Local volatility Markov chain Mathematical finance Statistics Financial economics
68	DISCRETIZATION SCHEMES FOR SUBORDINATED PROCESSES CLAUDIO ALBANESE AND ALEXEY KUZNETSOV A BSTRACT. We introduce a new class of continuous time lattices which are suitable for local Levy and stochastic volatility processe Add to Reading List Source URL: www.albanese.co.uk Language: English - Date: 2014-03-17 15:14:24 Stochastic processes Markov chain Fourier transform Martingale Itō diffusion Spectral theory of ordinary differential equations Statistics Mathematical analysis Markov processes
69	Monetary Policy Risk and CMS Spreads Claudio Albanese † Manlio Trovato Add to Reading List Source URL: www.albanese.co.uk Language: English - Date: 2014-03-17 15:14:23 Finance Stochastic volatility Volatility Markov chain Local volatility Stochastic drift Implied volatility Mathematical finance Statistics Financial economics
70	A STOCHASTIC VOLATILITY MODEL FOR BERMUDA SWAPTIONS AND CALLABLE CMS SWAPS CLAUDIO ALBANESE AND MANLIO TROVATO Abstract. It is widely recognized that fixed income exotics should be priced by means of a stochastic volatil Add to Reading List Source URL: www.albanese.co.uk Language: English - Date: 2014-03-17 15:14:17 Investment Volatility smile Implied volatility Swaption Volatility Hull–White model Local volatility Interest rate derivative Stochastic volatility Mathematical finance Financial economics Finance

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