Titlebook: Equity Derivatives and Hybrids; Markets, Models and Oliver Brockhaus Book 2016 The Editor(s) (if applicable) and The Author(s) 2016 equiti

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Applying Molecular and Materials Modelingng the use of single curve modelling has become more complicated since effects such as liquidity, funding costs, credit risk and collateral agreements can no longer be ignored. However, arguably, this complicates the nature of fixed income underlyings rather than creates new ones.

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https://doi.org/10.1057/9781137033642pidly than volatility skew and volatilities being more volatile than dividend forecasts. Hedging performance can be improved by assuming a link between different market parameters, see Andreasen and Huge (2014). For example, when calculating a price with a new spot, or computing the sensitivity to a

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Philip Osborne,Kajal Singh,Matthew E. Taylort advanced yield curve dynamics is often combined with simplified foreign exchange smile dynamics. In the equity context the aim is to extend smile consistent models to the stochastic interest rate case. Interest rates dynamics is often limited to single-factor short rate models, such as Hull-White’

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https://doi.org/10.1007/978-3-031-56630-1s are limited to specific products and models. Closed form solutions are available primarily for European options and affine models as discussed in Chapters 11 and 16. For log-normal assets (approximate) formulae are also known for barrier products, as well as basket and Asian products, see Sections

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The Editor(s) (if applicable) and The Author(s) 2016

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Equity Derivatives and Hybrids978-1-137-34949-1Series ISSN 2947-700X Series E-ISSN 2947-7018