We conduct an empirical comparison of static versus dynamic hedges of barrier options.
Using more than five years of data, we compare a number of static hedges from the literature …

A practical guide to basic and intermediate hedging techniques for traders, structerers and
risk management quants. This book fills a gap for a technical but not impenetrable guide to …

It is commonly assumed that calculating third order information is too expensive for most
applications. But we show that the directional derivative of the Hessian (D^ 3 f (x) ⋅ d D 3 f …

The computation of higher derivatives tensors is expensive even for adjoint algorithmic
differentiation methods. In this work we introduce methods to exploit the symmetry and the …

We give a closed formula for the derivative of arbitrary order of the function g (x)= exp (f (x))
and count the number of the summands therein, as well as the maximal number of distinct …

Purpose–Interest only strips are created by stripping the interest portion of cash flows
generated in mortgage‐backed securities or simply by servicing portfolios of mortgages. A …

This book provides a hands-on, practical guide to understanding derivatives pricing. Aimed
at the less quantitative practitioner, it provides a balanced account of options, Greeks and …

Purpose–The purpose of this paper is to present an innovative model that helps create a
portfolio of m‐fixed‐income securities, each with the optimal weight, in order for the portfolio …

It is important that the reader understands that the value of an IO, or of a MSR, is the present
value of the cash flows received over time. Clearly, the lower the cash flows are (due to high …

The purpose of this master's thesis is to research interest rate swaption pricing in different
interest rate cycles. Research is done by comparing observed implied volatility to realized …