TECHNICAL PAPERS

TECHNICAL PAPERS
  • June 2015

    Farhad Firouzi, quantitative analyst, and Elie Ayache, co-founder and chief executive officer of ITO33, present a fast and accurate method of evaluating one of the most daunting features of the convertible bond market - convertible bonds with the soft call feature of 20 out of 30 days.

  • March 2012

    Local volatility was, for a long time, seen as being a universal panacea. However, cracks appeared and we have been forced to look elsewhere for a new framework.

  • August 2011

    A convertible bond holder is short dividend. When a dividend is paid, the underlying share drops by a fraction of this dividend.

  • December 2006

    “Elie Ayache pulls off the philosopher's mask and reveals himself to be the ... well, I won't spoil the surprise. What our good friend Ayache does do, I can reveal, is take on implied volatility just one last time in an epic article worthy of a good stiff drink and absolute silence...” (Paul Wilmott, from the Ed's Letter).

  • October 2006

    The local volatility model helped give birth to a liquid equity variance swap market. But, Philippe Henrotte writes, the ungrateful child has now matured and is about to terminate its creator ...

  • August 2006

    Learn how Irony always supersedes Theory in derivative pricing, according to Elie Ayache.

  • August 2006

    Elie Ayache traces how convertible bond pricing went from a specialist niche to a new paradigm in volatility arbitrage.

  • February 2006

    “Out-of-model risk results from the empirical recognition that no model is immune to internally inconsistent re-calibration,” Philippe Henrotte writes.

  • December 2005

    “Implied Volatility is not just a word or a concept,” Elie Ayache writes.

  • March 2005

    Calibration, recalibration and co-calibration. These, according to ITO 33, are the keys to unlocking the problem of derivative pricing.

  • December 2004

    A return to issues raised by an article published in January last year.

  • January 2004

    Elie Ayache explains why the regime-switching model answers the challenges of re-calibration and co-calibration in the equity-to-credit problem.

  • January 2004

    Vadim Zeitlin explains why it may be interesting to provide the users of C++ pricing libraries with the possibility to call them from any language of their choice.

  • January 2004

    “Departure from time homogeneity may be the sign of serious modelling deficiency,” writes Philippe Henrotte. With three important examples, Philippe shows that it is possible to calibrate parsimonious time homogeneous models to complex term structures. His examples include the volatility smile, the credit spread, and the yield curve.

  • January 2004

    Elie Ayache, Philippe Henrotte, Sonia Nassar and Xuewen Wang address the problem of smile dynamics and how it can be solved.

  • January 2004

    In a finite element framework, Nabil Ouachani and Yunzhi Zhang analyze the pricing of cross-currency convertible bonds where the underlying share is denominated in a currency foreign to the convertible bond issue.

  • January 2004

    Yann d'Halluin and David Pooley propose robust and efficient techniques for the numerical solution of option pricing models where the underlying process is a jump diffusion process.

  • January 2004

    Toufic Abboud and Yunzhi Zhang present a numerical method for computing the free boundary problem for the American Put.

  • October 2002

    Elie Ayache, Peter Forsyth and Ken Vetzal examine the impact of default and of several recovery assumptions on the pricing of convertible bonds in reduced-form credit risk models.

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