All New Wilmott Jobs Board                     (r)
Subscribe to Wilmott
Follow us on Twitter
join wilmott
audio visual
file share
jobs board
about us
Stochastic Interest Rates for Local Volatility Hybrid Models: Wilmott Magazine Article
E. Benhamou, A. Gruz and A. Rivoira 169 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.

Multivariate Smiling: Wilmott Magazine Article
Peter Leoni & Wim Schoutens 1127 Views

The paper presents an application of the Variance-Gamma distribution to price multivariate derivatives. The paper focuses on the practical implementation of the model in a multivariate setting. Several calibration procedures are discussed and applied to examples. In particular, we focus on the pricing differences for several exotic structures between the MultiVariate Variance-Gamma Model and the MultiVariate Black-Scholes Flat Volatility Model.

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
- 100+ speakers including CROs, Chief Actuaries, CTOs, Regulators & Academics

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.

Insurance companies are able to attend the 2 day standard main conference sessions absolutely FREE*, with the option to upgrade to one of our "Plus" packages to gain access to various interactive networking sessions, the additional focus days, networking dinner and more!

Find out more & claim a 15% Wilmott discount today on:

Please contact ICBI for all enquiries:
Tel: +44 (0)20 7017 7200
Quote VIP Code: FKN2455WWB

* For reinsurance companies free places are restricted to those working within the Risk, Actuarial and Technology functions only.
Latest Tweets
New & Improved Wilmott Jobs Board
Now Playing
Finance Focus: Nick Higham
How I Successfully Forecast The Results Of GE15

Latest Blogs
The EU Debate and Averages
12 10 15: 1:13 PM
Quiz 7 - The problem with "drift" (The 1st who gets it wins a copy of The Black Swan )
13 03 07:12:48 PM
Unified Book Launch Oslo
05 12 14:5:19 PM
Emanuel Derman
RSS Feed to Reuters Blog
01 07 11: 4:02 PM
Satyajit Das
The Truth of the Matter
04 11 13: 4:57 AM
deMorgans Law
22 07 09: 3:04 PM
Pablo Triana
Models On Models
21 05 11: 4:49 PM
Jan Dash
2nd Edition, Quantitative Finance and Risk Management, a Physicist's Approach
06 09 15: 1:44 AM
Dan Goldstein
Taxi Drivers Get Bigger Tips When Paid By Credit Card
10 03 10: 10:28 PM
Iris Mack
Mardi Gras Funk!
09 02 16: 4:27 PM
27 04 15: 9:44 PM