7 papers
Consistent asset modelling with random coefficients and switches between regimes
Felix L. Wolf, Griselda Deelstra, Lech A. Grzelak
We explore a stochastic model that enables capturing external influences in two specific ways. The model allows for the expression of uncertainty in the parametrisation of the stoc…
Accelerated Computations of Sensitivities for xVA
Griselda Deelstra, Lech A. Grzelak, Felix L. Wolf
Exposure simulations are fundamental to many xVA calculations and are a nested expectation problem where repeated portfolio valuations create a significant computational expense. S…
Sensitivities and Hedging of the Collateral Choice Option
Griselda Deelstra, Lech A. Grzelak, Felix L. Wolf
The collateral choice option allows a collateral-posting party the opportunity to change the type of security in which the collateral is deposited. Due to non-zero collateral basis…
Cheapest-to-Deliver Collateral: A Common Factor Approach
Felix L. Wolf, Lech A. Grzelak, Griselda Deelstra
The collateral choice option gives the collateral posting party the opportunity to switch between different collateral currencies which is well-known to impact the asset price. Qua…
Local Volatility Pricing Models for Long-dated FX Derivatives
Griselda Deelstra, Grégory Rayée
We study the local volatility function in the Foreign Exchange market where both domestic and foreign interest rates are stochastic. This model is suitable to price long-dated FX d…
Pricing Variable Annuity Guarantees in a Local Volatility framework
Griselda Deelstra, Grégory Rayée
In this paper, we study the price of Variable Annuity Guarantees, especially of Guaranteed Annuity Options (GAO) and Guaranteed Minimum Income Benefit (GMIB), and this in the setti…
Vanna-Volga methods applied to FX derivatives : from theory to market practice
Frédéric Bossens, Grégory Rayée, Nikos S. Skantzos +1
We study Vanna-Volga methods which are used to price first generation exotic options in the Foreign Exchange market. They are based on a rescaling of the correction to the Black-Sc…