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  • Quantitative Finance Collector This document is an index with different piece of codes you can find on the web ,(2009) 
  • No-Dynamic-Arbitrage and Market Impact , J.Gatheral (2009) 
  • The Risk of Tranches Created from Residential Mortgages This paper examines the risk in the tranches of ABSs and ABS CDOs that were created from residential mortgages between 2000 and 2007. Using the criteria of the rating agencies, it tests how wide the AAA tranches can be under different assumptions about the correlation model and recovery rates. It concludes that the AAA ratings assigned to the senior tranches of ABSs were not unreasonable. However, the AAA ratings assigned to tranches of Mezz ABS CDOs cannot be justified. The risk of a Mezz ABS CDO tranche depends critically on the correlation between mortgage pools as well as on the correlation model and the thickness of the underlying BBB tranches. The BBB tranches of ABSs cannot be considered equivalent to BBB bonds for the purposes of subsequent securitizations. , J.Hull, A.White (2009) 
  • Fast Delta Computations in the Swap-Rate Market Model We develop an efficient algorithm to implement the adjoint method that computes sensitivities of an interest rate derivative (IRD) with respect to different underlying rates in the co-terminal swap-rate market model. The order of computation per step of the new method is shown to be proportional to the number of rates times the number of factors, which is the same as the order in the LIBOR market model. , M.S.Joshi, C.Yang (2009) 
  • Stable Monte-Carlo Sensitivities of Bermudan Callable Products n this paper we discuss the valuation and sensitivities of financial products with early exercise rights (e.g., Bermudan options) using a Monte-Carlo simulation. The usual way to value early exercise rights is the backward algorithm. As we will point out, the Monte-Carlo version of the backward algorithm is given by an unconditional expectation of a random variable whose paths are discontinuous functions of the initial data. This results in noisy sensitivities, when sensitivities are calculated from finite differences of valuations. We present a simple localized smoothing of the Monte-Carlo backward algorithm which results in stable, variance reduced sensitivities. In contrast to other payoff smoothing methods, the smoothed backward algorithm will converge to the true Bermudan value in the Monte-Carlo limit. However, it looses the property of being a strict lower bound. The method is easy to implement since it is a simple modification to the pricing algorithm and it is independent of the underlying model. , C.P.Fries (2009) 
  • CDS with Counterparty Risk in a Markov Chain Copula Model with Joint Defaults In this paper we study the counterparty risk on a payer CDS in a Markov chain model of two reference credits, the firm underlying the CDS and the protection seller in the CDS. We first state few preliminary results about pricing and CVA of a CDS with counterparty risk in a general set-up. We then introduce a Markov chain copula model in which wrong way risk is represented by the possibility of joint defaults between the counterpart and the firm underlying the CDS. In the set-up thus specified we have semi-explicit formulas for most quantities of interest with regard to CDS counterparty risk like price, CVA, EPE or hedging strategies. Model calibration is made simple by the copula property of the model. Numerical results show adequation of the behavior of EPE and CVA in the model with stylized features. , S.Crepey, M.Jeanblanc, B.Zargari (2009) 


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