Collocating Volatility: A Competitive Alternative to Stochastic Local Volatility Models

We discuss a competitive alternative to stochastic local volatility models, namely the Collocating Volatility (CV) framework, introduced in [L. A. Grzelak (2019) The CLV framework-A fresh look at efficient pricing with smile, International Journal of Computer Mathematics 96 (11), 2209-2228]. The CV framework consists of two elements, a ...

Pricing and hedging options in a negative interest rate environment

This thesis is about pricing interest rate options in a negative interest rate environment and about pricing foreign exchange barrier options. Conventional interest rate option pricing models are unable to price interest rate options in the current negative interest rate environment. Displaced versions and free boundary versions of the...