|Pricing Partners published White Paper on Weak Approximation of Averaged Diffusion Processes - Feb 2014|
Pricing Partners, part of Thomson Reuters, the world leader in OTC derivatives pricing analytics, mathematical models and independent valuation, is pleased to announce the publication of a White Paper on “Weak approximation of Averaged Diffusion Processes”. The research has been joined work between Dr. Mohammed Miri, Head of Research and Development at Pricing Partners and Professor E. Gobet from Ecole Polytechnique and will be published on one of the most famous journals “Stochastic Processes and their Applications”.
The paper develops an innovative closed formula to compute Asian and baskets options on general local volatility models. It derives smart expansion results in order to approximate the law of the average of the marginal of diﬀusion processes. The approximation method is based on a normal or lognormals proxys. The paper also provides non asymptotic error bounds which handle the discrete and continuous case as well.
Dr. Mohammed Miri, Head of Research and Development at Pricing Partners comments, “The closed formulas from the paper will be added to the award winning solution, Price-it Library. Clients with products such as Asian options should see a huge improvement with very fast and reliable closed formulas”.
Eric Benhamou, Managing Director at Pricing Partners comments “This is a great work. At Pricing Partners, we are very keen to push the limit of our analytics. This new research confirms our thorough leadership on innovation in financial mathematics and continues strengthening the value proposal of our solution. I thank Mohammed for his inventiveness and brilliant ideas.”
Link of paper: http://www.pricingpartners.com/downloads/white-papers.html
About Pricing Partners
Pricing Partners, part of Thomson Reuters, is an international software provider of derivatives pricing analytics and a service provider of independent valuation for all over-the-counter (OTC) derivatives, ranging from plain vanilla to the most complex exotic and hybrid structures, as well as proprietary algorithmic indexes. Its best-of-breed financial library, Price-it®, covers all major asset classes, including interest rates, equity, inflation, credit, foreign exchange, commodities, variable annuities and hybrid products.
Pricing Partners' intrinsic knowledge and innovative solutions empower financial institutions to achieve accurate and transparent valuations on their structured products as well as improve their risk control of the counterparty and collateral management.The valuation process is completely transparent and auditable, with full details on models, calibrations and market data used, which enables users to easily comply with the most stringent regulatory and auditing requirements.Pricing Partners is named top provider in several pricing and analytics categories in the Structured Products Technology Rankings from 2010 to 2013.
In 2013, Pricing Partners became a part of Thomson Reuters to combine our industry-leading OTC derivatives position with the brand reputation, scale and broad capabilities of Thomson Reuters Pricing Service.
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