Valuation – models, parameters and market data
Robust and tested models and pricing methodology
| Models | Methodology |
|---|---|
| Black & Scholes modified | Closed-form formulas |
| Local volatility surface | Finite difference methods |
| Ho & Lee, Hull & White | Monte Carlo simulations |
| HJM, Libor Market Model |
Observable and derived market data
- Implied market data stored daily
- Historical analysis of correlation, volatilities and spread
- Corporate actions monitoring
- Forecasted dividends
| << Valuation - Process | Valuation - Product coverage >> |
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