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Volatility smile dynamics
(Indian Institute of Management Ahmedabad, 2008)
‘Smile Dynamics’ is one of the key problems debated in the option smile literature today. It is a key component for consistent pricing of exotic options and hedging option portfolios. There exist various smile models which ...
Target accrual redemption notes: models & valuation
(Indian Institute of Management, Ahmedabad, 2008)
The market for exotic interest rate derivatives has primarily been dominated
by callable Libor exotics. New flavors of such instruments have been introduced in the interest rate markets over the years. However, a new ...