Zobrazeno 1 - 10
of 10
pro vyhledávání: '"Raoul Pietersz"'
Publikováno v:
International Journal of Theoretical and Applied Finance. 23:2050028
The market for cash-settled swaptions has changed its quotation conventions. Cash-settled zero-wide collars struck at the swap-settled forward have started trading at nonzero prices. Apart from full-fledged term-structure models, a simple arbitrage-f
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::6b3b3606914c18c223b49f42f58f105c
https://doi.org/10.1142/s0219024920500284
https://doi.org/10.1142/s0219024920500284
Publikováno v:
SSRN Electronic Journal.
The market for cash-settled swaptions has changed its quotation conventions. Cash-settled zero-wide collars struck at the swap-settled forward have started trading at non-zero prices. Apart from full- fledged term-structure models, a simple arbitrage
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::8105f3651fb683cd7040abd2c13a1750
https://doi.org/10.2139/ssrn.3041228
https://doi.org/10.2139/ssrn.3041228
Autor:
Raoul Pietersz, Igor Grubisic
Publikováno v:
Linear Algebra and its Applications. 422(2-3):629-653
Geometric optimisation algorithms are developed that efficiently find the nearest low-rank correlation matrix. We show, in numerical tests, that our methods compare favourably to the existing methods in the literature. The connection with the Lagrang
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_dedup___::f927f41016da961f1fb8f8dc457776b3
Autor:
Marcel van Regenmortel, Raoul Pietersz
Publikováno v:
Finance and Stochastics. 10:507-528
Currently, there are two market models for valuation and risk management of interest rate derivatives, the LIBOR and swap market models. In this paper, we introduce arbitrage-free constant maturity swap (CMS) market models and generic market models f
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_dedup___::68a6b950b89b558bb122b38bfdec2f2f
https://doi.org/10.1007/s00780-006-0023-3
https://doi.org/10.1007/s00780-006-0023-3
Autor:
Raoul Pietersz, Antoon Pelsser
Publikováno v:
The Journal of Derivatives. 11:51-62
Estimating the sensitivity of swaption values to volatility changes is tricky, because there are many different ways the volatility function may be deformed that give rise to the same change in overall variance. The authors show how a standard recali
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::7274c35eb09068f07d870bf93ab67971
https://doi.org/10.3905/jod.2004.391035
https://doi.org/10.3905/jod.2004.391035
Publikováno v:
The Journal of Computational Finance, 8(1), 93-124. Incisive Media Ltd.
step together with a separability assumption on the volatility function allows for representation by a low-dimensional Markov process. This in turn leads to efficient pricing by, for example, finite differences. We then develop a discretization based
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_dedup___::3571ccac41ecb4c9ced00ac56a6dfff0
https://doi.org/10.21314/jcf.2004.113
https://doi.org/10.21314/jcf.2004.113
Autor:
Raoul Pietersz, Antoon Pelsser
Publikováno v:
Review of Derivatives Research, 13(3), 245-272. Springer Verlag
Review of Derivatives Research, 13(3), 245-272. Springer New York
Review of Derivatives Research, 13(3), 245-272. Springer New York
We compare single factor Markov-functional and multi factor market models and the impact of their correlation structures on the hedging performance of Bermudan swaptions. We show that hedging performance of both models is comparable, thereby supporti
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_dedup___::65c7370d92c6f081beade6b575510b83
https://cris.maastrichtuniversity.nl/en/publications/800a69dd-27ad-4220-ac64-63ff9ff27124
https://cris.maastrichtuniversity.nl/en/publications/800a69dd-27ad-4220-ac64-63ff9ff27124
Autor:
Antoon Pelsser, Raoul Pietersz
Publikováno v:
SSRN Electronic Journal.
This article presents a novel approach for calculating swap vega per bucket in the Libor BGM model. We show that for some forms of the volatility an approach based on re-calibration may lead to a large uncertainty in estimated swap vega, as the insta
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_dedup___::8798d2ed532afebbb248b0d4f4a07aa2
https://doi.org/10.2139/ssrn.383580
https://doi.org/10.2139/ssrn.383580
Autor:
Raoul Pietersz
Publikováno v:
SSRN Electronic Journal.
This paper presents a novel method of pricing interest rate derivatives in the context of BGM using a partial differential equation (PDE) approach. PDE methods have the advantage of being computationally faster than Monte Carlo simulation. The key id
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::1b590077de1af2fee9c2eb79851e3c11
https://doi.org/10.2139/ssrn.302266
https://doi.org/10.2139/ssrn.302266