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Quantitative Finance Insights

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Technical Papers

Valuation of Equity FX Instruments

This technical paper outlines the valuation methodologies for various Equity and FX instruments within the UnRısk framework.

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Technical Papers

Valuation of Credit Default Swaps

This technical paper provides a detailed methodology for the valuation of Credit Default Swaps (CDS) within the UnRısk framework.

Technical Papers

Valuation of Convertible Bonds

This technical paper presents methodologies for valuing callable and putable convertible bonds using advanced numerical techniques within the UnRısk framework.

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Technical Papers

Valuation of Interest Rate Instruments

This technical paper outlines various methodologies for the valuation of interest rate instruments within the UnRısk framework.

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Technical Papers

Numerical Methods in UnRısk

This technical paper explores the numerical methodologies employed in the UnRısk framework, focusing on adaptive integration and streamline diffusion. The document initially introduces the adaptive integration techniques applied in option …

Technical Papers

Calibration of Equity Models

This technical paper explores the calibration of equity models, focusing primarily on the local volatility surface and the Heston stochastic volatility model. It addresses the limitations of the Black-Scholes framework, …

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Technical Papers

Calibration of Interest Rate Models

The technical paper discusses the calibration of various interest rate models, focusing on one-factor and two-factor models by Hull & White, as well as the Black Karasinski model.

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Technical Papers

Parameter Estimates

This technical paper presents a comprehensive methodology for estimating the parameters required for pricing quantos and convertible bonds under two-factor models.