1 citations · 2 across the 2 of their papers we have counts for
2 papers
q-fin.CP2022★ 1 cited
A semi-static replication approach to efficient hedging and pricing of callable IR derivatives
Jori Hoencamp, Shashi Jain, Drona Kandhai
We present a semi-static hedging algorithm for callable interest rate derivatives under an affine, multi-factor term-structure model. With a traditional dynamic hedge, the replicat…
q-fin.PR2007★ 1 cited
Understanding the volatility smile of options markets through microsimulation
G. Qiu, D. Kandhai, P. M. A. Sloot
In this work, we aim to gain a better understanding of the volatility smile observed in options markets through microsimulation (MS). We adopt two types of active traders in our MS…