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Publications
Publications (10)
In this article, we will discuss a few enhancements for SABR model implementation, first we will introduce a fast SABR calibration with the standard Hagan’s formula by reducing the number of model parameters; then we will address the negative probability at the low strike wing with the Hagan’s formula, and propose an arbitrage free patching to fix...
We describe the major inflation-indexed derivatives traded in the market and two different pricing models, one is Jarrow and Yildirim (2003) model, the second is a lognormal market model (LMM). Both models will be tested on real market data. The main issue is the calculation of the year-on-year convexity correction. We provide three different alter...
In this essay, we will discuss three major Christian traditions — Catholicism, Orthodoxy and Protestantism and their impact on the democracy and corruption. Using the global Christian population rates, the democracy indexes and corruption perception indexes (CPI) for each country, with ordinary least square (OLS) regression, we can clearly see Chri...
In convertible bond market, it is very common to protect the conversion privilege from being called away too soon by using soft-call constraint, or to protect the bond being converted too soon by using provision convert constraint. The first option will protect the bond holder; the second will be benefit to bond issuer. Both constrains have the com...
Describe the major inflation-indexed derivatives traded in the market and show how to price them.
I propose an efficient method to price callable constant maturity swap spread range accruals using fast Fourier transforms. I illustrate the model calibration method and pricing procedure based on a two-factor linear Gaussian Martingale model.
In this article, we will discuss three pricing methods for LPI swap: perturbation method, common factor method and Monte-Carlo method. The perturbation method can give a clear hedging idea, but not great result except when the LPI is close to Zero-coupon. The common factor methods are modifications of the common factor method introduced by Brody et...
In convertible bond market, it is very common to protect the conversion privilege from being called away too early by using a soft-call constraint. It stipulates is that the option can be exercise only when the underlying stock closes above a pre-set barrier for any n or more days over m consecutive trading days. Such soft-call option feature makes...
This document describes the formulae and input generation for pricing callable quanto CMS spread range accruals under a three factor Gaussian affine framework.