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Calibration of Chaotic Models for Interest Rates

Economy – Quantitative Finance – Pricing of Securities
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Calibration of One- and Two-Factor Models For Valuation of Energy Multi-Asset Derivative Contracts

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CDO term structure modelling with Levy processes and the relation to market models

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Classification of barrier options

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Clean Valuation Framework for the USD Silo

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Climbing Down from the Top: Single Name Dynamics in Credit Top Down Models

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Closed form asymptotics for local volatility models

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Collateralized CDS and Default Dependence

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Completing CVA and Liquidity: Firm-Level Positions and Collateralized Trades

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Conditional Density Models for Asset Pricing

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Conservative delta hedging under transaction costs

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Consistent Long-Term Yield Curve Prediction

Economy – Quantitative Finance – Pricing of Securities
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Consistent Modeling of VIX and Equity Derivatives Using a 3/2 plus Jumps Model

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Consistent price systems and face-lifting pricing under transaction costs

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Consistent Valuation of Bespoke CDO Tranches

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Constant Maturity Credit Default Swap Pricing with Market Models

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Continuous time Ehrenfest process in term structure modelling

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Continuously monitored barrier options under Markov processes

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Controlled options: derivatives with added flexibility

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Convergence of Heston to SVI

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