Join us on :
Home >> News & Events >> Press Release >> The Financial Risks International Forum On Structured Products And Credit Derivatives - Mar 08
The Financial Risks International Forum On Structured Products And Credit Derivatives - Mar 08

 

Pricing Partners Derivatives-Pricing-Analytics-Independent-Valuation
 

February 5th, 2008 - Marian Ciucă, quant analyst for Pricing Partners, presents “A Comparative Analysis of Basket Default Swaps Pricing Using the Stein Method”, a Pricing Partners research paper at the Financial Risks International Forum on “Structured Products and Credit Derivatives” held on the 27th and 28th of March in Paris.

Subject of discussions: Structured Credit Products

This paper is coauthored by Dorinel-Marian Bastide, Eric Benhamou and Marian Ciucă, and presents an analysis of basket default swaps pricing, comparing the so called “Stein numerical method” with tree numerical methods used by the financial industry: the Recursive method of Hull and White, the Fast Fourier Transform method of Laurent and Gregory, and the Monte Carlo method. Stein numerical method was recently studied by El Karoui and Jiao, and applied to the pricing of the CDO tranches.  The paper compares these numerical methods in terms of accuracy and efficiency, in the Factor Copula Model framework, using various copula functions: one factor and multi factor Gaussian copula, Clayton copula, Marshall-Olkin copula, Double-t copula and Student copula. 

 

About Pricing Partners 

Set up by former professionals of the trading industry, Pricing Partners offers accurate solutions for derivatives products valuation, pricing tools and risk analytics. Thanks to Price-it online, a SaaS platform, Pricing Partners provides independent valuation from the vanilla to the most exotic financial products on most assets (Interest Rates, Fixed Income, Equity, Inflation, Credit, Foreign Exchange, Commodities, Life Insurance and Hybrid products). Pricing Partners develops and commercializes Price-it Excel, an analytic and independent pricing library using a generic payoff language description that allows it to price virtually any financial derivatives. Price-it supports VaR, CVaR and the most common risk management tools. Pricing Partners is the only company completely mastering the chain of valuation, developing both its own pricing library and a valuation platform giving its clients very accurate and reliable valuation as a result of its intrinsic knowledge of the pricing tools. Pricing Partners solutions can be used by investment banks, buy side firms, hedge funds, financial departments, trading rooms and audit firms.