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Option Pricing and Model Calibration

Instrument pricing has been, in the past decades, one of the most active research topics in mathematical finance, especially for options and fixed income related securities. Two approaches have seen major advances lately: the Monte-Carlo method, because of its flexibility and of the increase of computing speed, and approximate closed forms, because they provide quasi-immediate acceptable figures. Here are a few articles in this field.

Option Pricing

Closed Form Formulas for Exotic Options and their Lifetime Distribution International Journal of Theoretical and Applied Finance (IJTAF), vol. 2, no1, 1998.

Authors: Raphael Douady
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Bermudan Option Pricing with Monte-Carlo Methods in "Quantitative Methods in Financial Markets" vol. 2 edited by M. Avellaneda, 2000, World Scientific.

Authors: Raphael Douady
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2-Factor Models with Closed Form Formulas: 1) Convertible Bonds 2) Oil Futures & Swaptions, Internal Research Paper, bu2000.

Authors: Raphael Douady
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Modern Monte-Carlo Methods for Pricing Options with Early Exercise Features

Authors: Raphael Douady
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Static Hedging of Exotic Options

Authors: Peter Carr, Katrina Ellis, Vishal Gupta
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Static Replication of Barrier Options: Some General Results

Authors: Leif Andersen, Jesper Andreasen, David Eliezer
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An Exact Analytical Solution for Discrete Barrier Options

Authors: Gianluca Fusai, I. David Abrahams, Carlo Sgarra
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Hedging Complex Barrier Options

Authors: Peter Carr, Andrew Chou
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A "Convolution" Method for Option Pricing, Proceedings of the AFFI Conference, 1995.

Authors: Raphael Douady
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A Note on Instantaneous Volatilities "a la Dupire" Internal Research Paper, 1997.

Authors: Raphael Douady
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Calibration

Model Calibration in the Monte-Carlo Framework in "Monte Carlo Simulation - Methodologies and Applications for Pricing and Risk Management", Risk Book, Edited by B. Dupire, 1998.

Authors: Raphael Douady
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Monte-Carlo Path Weighing, Internal Research Paper, 1999.

Authors: Raphael Douady
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Hybrid Calibration of Interest Rate Models: Implied and Statistical

Authors: Raphael Douady
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Challenges in Math, Finance

Authors: Raphael Douady
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Fixed Income

Managing Interest Rate and Credit Risk. Introducing and Evaluating the Riskdata System

Authors: Raphael Douady
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Zero-Coupon Yield Curve Estimation: A Principal Component, Polynomial Approach

Authors: Ben Hunt, Chris Terry
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Statistical Duration: A Spread Model Rate Sensitivity Across Fixed-Income Sectors

Authors: Martin L. Leibowitz, Stanley Kogelman, Lawrence N. Bader
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Modeling Term Structure Dynamics: an Infinite Dimensional Approach

Authors: Rama Cont
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Correlations in Interest Rate Models, Internal Research Paper, 1999.

Authors: Raphael Douady
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Yield Curve Smoothing and Residual Variance of Fixed Income Positions Internal research paper 1997.

Authors: Raphael Douady
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