1 citations · 1 across the 2 of their papers we have counts for
3 papers
q-fin.PR2014
A heuristic pricing and hedging framework for multi-currency fixed income desks
Eduard Giménez, Alberto Elices, Giovanna Villani
It is well known that traded foreign exchange forwards and cross currency swaps (CCS) cannot be priced applying overnight cash and carry arguments as they imply absence of funding…
q-fin.CP2011★ 1 cited
Weighted Monte Carlo: Calibrating the Smile and Preserving Martingale Condition
Alberto Elices, Eduard Giménez
Weighted Monte Carlo prices exotic options calibrating the probabilities of previously generated paths by a regular Monte Carlo to fit a set of option premiums. When only vanilla c…
q-fin.RM2011
Applying hedging strategies to estimate model risk and provision calculation
Alberto Elices, Eduard Giménez
This paper introduces a relative model risk measure of a product priced with a given model, with respect to another reference model for which the market is assumed to be driven. Th…