Callable Libor exotics is a class of single-currency interest-rate contracts that are Bermuda-
style exercisable into underlying contracts consisting of fixed-rate, floating-rate and option …

Summary In Foreign Exchange Markets Compound options (options on options) are traded
frequently. Instalment options generalize the concept of Compound options as they allow the …

Raoul Pietersz was born on 12 June 1978 in Rotterdam, The Netherlands. In 2000, he
obtained a Certificate of Advanced Studies in Mathematics (Mathematical Tripos Part III) …

Currently, there are two market models for valuation and risk management of interest rate
derivatives: the LIBOR and swap market models. We introduce arbitrage-free constant …

We compare single factor Markov-functional and multi factor market models and the impact
of their correlation structures on the hedging performance of Bermudan swaptions. We show …

In the beginning of the 90's Heath, Jarrow and Morton (HJM) presented a revolutionary
approach to interest rate modelling. Instead of modelling the instantaneous spot rate, as in …

Interest rate contingent claims such as swaptions, caps and floors, callable bonds, mortgage-
backed securities and many balance sheet items are subject to vega risk. Vega risk is …

The relatively young field of quantitative finance has grown over the past thirty years with the
cherry-picking of a wide variety of techniques from the disciplines of finance, mathematics …

With the removal of capital market restrictions, listing of domestic firms in foreign markets,
and privatization of stateowned companies, there has been a greater integration of …

Quantum Finance, which refer to applying the mathematical formalism of quantum
mechanics and quantum field theory to finance, shows real advantage in the study of interest …