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Stochastic Interest Rates for Local Volatility Hybrid Models: Wilmott Magazine Article
E. Benhamou, A. Gruz and A. Rivoira 94 Views

This paper studies the impact of stochastic interest rates for local volatility hybrids. We first show that we can explicitly determine the bias between the local volatility of a model with stochastic interest rates and the local volatility of the same model but with deterministic interest rates as a function between the correlation of the stochastic interest rates and the digital at the local strike.

On Exercising American Options: The Risk of Making More Money Than You Expected: Wilmott Magazine Article
Hyungsok Ahn and Paul Wilmott 4398 Views

The price of an American option is dictated by the concept of optimal, exercise. But optimal is defined from the perspective of the option writer, who is assumed to be able to delta hedge. This theory for when to exercise the option is well known. However, buyers of American options may, and do, exercise early or late for a variety of reasons.

RiskMinds Insurance 2016 - 22-23 March 2016: Main Conference Hotel Okura, Amsterdam - 15% Discount for Wilmott users
RiskMinds Insurance 2016

22-23 March 2016: Main Conference
21 March 2016: Fintech and Disruption Focus Day
21 March 2016: Regulation Post SII Focus Day
21 March 2016: Data and Big Data Focus Day
22-23 March 2016: Main Conference Hotel Okura, Amsterdam

15% Discount for readers - VIP Code: FKN2429WLWB

The largest event for risk management in the insurance industry.

- 450+ senior professionals from Europe?s leading insurance companies
- 50+ CROs in attendance
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For 2016, we will address the full spectrum of challenges facing CROs, Chief Actuaries and CTOs in insurance and re-insurance companies. We have created a festival of events giving dedicated content to each of the above job titles, as well as a whole host of exciting interactive formats taking place parallel to the main conference sessions.

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* For reinsurance companies free places are restricted to those working within the Risk, Actuarial and Technology functions only.
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