Following the financial crisis dramatic market changes, a new standard in interest rate modelling
emerged, called the multi-curve framework. The author provides a detailed analysis of …

Libor derivative pricing has changed with the crisis; Libor is no longer one unambiguous
curve as a large basis has appeared between different Libor tenors. A previous approach to …

We hereby present an explicit formula for European options on coupon bearing bonds in the
Heath–Jarrow–Morton one factor model with non-stochastic volatility. The formula extends …

With the expected discontinuation of the LIBOR publication, a robust fallback for related
financial instruments is paramount. In recent months, several consultations have taken place on …

A simple and fundamental question in derivatives pricing is the way (contingent) cash-flows
should be discounted. As cash can not be invested at Libor the curve is probably not the …

Adjoint Algorithmic Differentiation is an efficient way to obtain price derivatives with respect
to the data inputs. We describe how the process efficiency can be further improved when a …

We prove an existence and localization result for a solution of a second order elliptic
equations with Dirichlet and regular oblique derivative boundary conditions. The main result is …

… as described in Henrard (2010), which is based on pre-crisis developments proposed in
Henrard (… Using techniques similar to the ones developed in Henrard (2013b) for the multi-curve …

Adjoint Algorithmic Differentiation is an efficient way to obtain financial instrument price
derivatives with respect to the data inputs. Often the differentiation does not cover the full pricing …

This book provides the first practical guide to the function and implementation of algorithmic
differentiation in finance. Written in a highly accessible way, Algorithmic Differentiation …