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Economy & Finance Efficient Numerical PDE Methods to Solve Calibration and Pricing Problems in Local Stochastic...

1. Ecient Numerical PDE Methods to Solve Calibration andPricing Problems in Local Stochastic Volatility ModelsArtur SeppBank of America Merrill Lynch, [email protected]

Economy & Finance Volatility derivatives and default risk

1. Volatility derivatives and default riskARTUR SEPPMerrill LynchQuant Congress LondonNovember 14-15, 20071 2. Plan of the presentation1) Heston stochastic volatility model…

Economy & Finance Achieving Consistent Modeling Of VIX and Equities Derivatives

1. Achieving Consistent Modeling Of VIX and EquitiesDerivativesArtur SeppBank of America Merrill Lynch, [email protected] Derivatives Trading & Risk Management…