2 papers
q-fin.PR2024
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…
q-fin.RM2022
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…