Four-factor model of Quanto CDS with jumps-at-default and stochastic recovery

no code implementations • 17 Dec 2019 • Andrey Itkin, Fazlollah Soleymani

In this paper we modify the model of Itkin, Shcherbakov and Veygman, (2019) (ISV2019), proposed for pricing Quanto Credit Default Swaps (CDS) and risky bonds, in several ways.

Pricing foreign exchange options under stochastic volatility and interest rates using an RBF--FD method

no code implementations • 3 Mar 2019 • Fazlollah Soleymani, Andrey Itkin

This paper proposes a numerical method for pricing foreign exchange (FX) options in a model which deals with stochastic interest rates and stochastic volatility of the FX rate.