Views from the experts
Experts at Sophis regularly produce technical papers that outline our latest thinking on a range of topics.
See below our most recent publications.
- One-Dimensional Pricing of CPPI
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- A Dynamic Model for Credit Index Derivatives
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- Asymptotic Implied Volatility at the Second Order With Application to the SABR Model
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- Efficient Pricing of CPPI using Markov Operators
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Risk - Parisian barrier option applied to convertible bonds
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- Pricing of Convertible Bonds
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Credit - Back to Basics - Credit Default Swaptions
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Derivatives Week - Credit Correlation and Credit Volatility
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Risk - Complex credit derivatives pricing
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FOW - Parametric Value-at-Risk Calibration
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Energy risk - Spread Modelling for Energy Risk
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Risk - Stable pricing methods for hybrid structure
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FOW - Bond Floor Pricing for Convertible Bonds
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Risk - Robust rho hedging
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Risk - Basket option pricing: a survey
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Risk - Equity smile a Monte-Carlo approach
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Risk - Breaking through basket credit default swaps pricing
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Risk - Practical credit risk hedging
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Risk - Dynamic multi-factor risk consolidation
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Risk - Inside PDEs
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Risk - Hedging vega risk with volatility smile
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Risk - Sophis Faster Pricing of CB
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