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Stochastic Interest Rates for Local Volatility Hybrid Models: Wilmott Magazine Article
E. Benhamou, A. Gruz and A. Rivoira 198 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.


Design Patterns in Option Pricing Part III: Modeling the Finite Difference Method in C++ : Wilmott Magazine Article
Daniel Duffy 3176 Views

We discuss how to design and implement finite difference schemes that approximate the solution of the Black Scholes equation. In particular, we construct a simple framework that can be extended and used with a variety of option types. The focus of the article is to show how Design Patterns in conjunction with C++ are used to produce flexible and maintainable software systems. In this way we hope to resolve myths and misunderstandings concerning this particular way of software development. In short, Design Patterns are a proven software technology and have great practical use in financial engineering applications.

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

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The largest event for risk management in the insurance industry.

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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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