We present an explicit formula for European options on coupon bearing bonds and swaptions in the Heath-Jarrow-Morton (HJM) one factor model with non-stochastic volatility. The formula extends theâ€¦ (More)

Adjoint Algorithmic Differentiation is an efficient way to obtain financial instrument price derivatives with respect to the data inputs. Often the differentiation does not cover the full pricingâ€¦ (More)

Adjoint Algorithmic Differentiation is an efficient way to obtain price derivatives with respect to the data inputs. We describe how the process efficiency can be further improved when a modelâ€¦ (More)

This article may be used for research, teaching and private study purposes. Any substantial or systematic reproduction, redistribution , reselling , loan or sub-licensing, systematic supply orâ€¦ (More)

A simple exotic option (floor on rolled deposit) is studied in the shifted log-normal Libor Market (LMM) and Gaussian HJM models. The shifted log-normal LMM exhibits a controllable volatility skew.â€¦ (More)

This article is devoted to the study cashflow maps used in the computation of value-at-risk (VaR). Properties and characteristics of the approaches found in the literature are presented and two newâ€¦ (More)

Leveraging the explicit formula for European swaptions and coupon-bond options in HJM one-factor model we develop a semi-explicit formula for 2-Bermudan options (also called Canary options). For thisâ€¦ (More)

In this documentation we describe the way sensitivities to curves and other parameters are computed. In particular we describe rate deltas or Bucketed PV01.

The Hull-White one factor model is used to price interest rate options. The parameters of the model are often calibrated to simple liquid instruments, in particular European swaptions. It isâ€¦ (More)