Christian Kamtchueng

CTK corp

Head Quant Advisor

Canary Wharf

London

http://www.cityquant.com

SCHOLARLY PAPERS

21

DOWNLOADS
Rank 18,514

SSRN RANKINGS

Top 18,514

in Total Papers Downloads

3,333

SSRN CITATIONS
Rank 32,485

SSRN RANKINGS

Top 32,485

in Total Papers Citations

0

CROSSREF CITATIONS

26

Scholarly Papers (21)

1.

Uncertain Correlation Model

Wilmott Journal, Vol. 2, December 2010
Number of pages: 46 Posted: 14 Jul 2009 Last Revised: 15 Mar 2012
Christian Kamtchueng
CTK corp
Downloads 488 (71,781)

Abstract:

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correlation, equity, uncertain, stochastic, UCM

2.

Autocallable More American Than European?

Number of pages: 19 Posted: 10 Sep 2011 Last Revised: 20 May 2012
Christian Kamtchueng
CTK corp
Downloads 379 (96,745)
Citation 3

Abstract:

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autocallable, autocallable pricing, hedging

3.

Digital Pricing and Hedging

Number of pages: 24 Posted: 10 Sep 2011 Last Revised: 20 May 2012
Christian Kamtchueng
CTK corp
Downloads 376 (97,606)
Citation 4

Abstract:

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Digital, Hedging, Pricing

4.

CVA, DVA, LVA, FVA, CSA and What Else?

Number of pages: 23 Posted: 19 Mar 2013 Last Revised: 07 Jan 2016
Christian Kamtchueng
CTK corp
Downloads 260 (145,206)
Citation 1

Abstract:

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CVA, DVA, LVA, DVA, CSA, MLVA, credit risk, funding risk, liquidity risk

5.

CVA Implied Vol and Netting Arbitrage

Number of pages: 35 Posted: 10 Oct 2011 Last Revised: 12 Nov 2012
Christian Kamtchueng
CTK corp
Downloads 223 (168,509)
Citation 3

Abstract:

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CVA, netting, arbitrage, CVA implied volatility, CVA local volatility, Equity CVA, counterparty valuation adjustment

6.

Nothing is Clear about Clearing!

Number of pages: 17 Posted: 01 Apr 2015 Last Revised: 08 Nov 2015
Christian Kamtchueng and Simon Porcher
CTK corp and IAE Paris - Sorbonne Business School
Downloads 182 (203,058)

Abstract:

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Regulation, Central Clearing, Collateral

7.

FVA, Modelling and Netting Arbitrage - Introduction

Number of pages: 16 Posted: 09 Jan 2013 Last Revised: 07 Jan 2016
Christian Kamtchueng
CTK corp
Downloads 158 (229,118)
Citation 2

Abstract:

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FVA, netting, arbitrage, funding valuation adjustment, funding cost

8.

The CVA, Premium or Charge? CVA Call Hedging

Number of pages: 41 Posted: 15 Feb 2012 Last Revised: 12 Jan 2013
Christian Kamtchueng
CTK corp
Downloads 155 (232,799)
Citation 3

Abstract:

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CVA premium, CVA hedging, counterparty valuation adjustment

9.

Uncertain Monte Carlo

Number of pages: 35 Posted: 08 Feb 2011 Last Revised: 18 Jan 2013
Christian Kamtchueng
CTK corp
Downloads 148 (241,832)
Citation 2

Abstract:

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Uncertain Monte Carlo, Uncertain Monte Carlo Model, Uncertain Tree

10.

SPM Extension

Number of pages: 22 Posted: 26 Aug 2012 Last Revised: 17 Sep 2012
Christian Kamtchueng
CTK corp
Downloads 110 (302,044)

Abstract:

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Smile, Perfect, Match, Correlation Skew, Copula Model,SPM

11.

CVA Netting Arbitrage Introduction

Number of pages: 12 Posted: 23 May 2012 Last Revised: 15 May 2013
Christian Kamtchueng
CTK corp
Downloads 109 (303,959)
Citation 3

Abstract:

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CVA, netting arbitrage, wrong way risk, hedging, counterparty valuation adjustment

12.

Correlation, Where are You? Where are We? Update on Correlation Modeling

Number of pages: 7 Posted: 13 Sep 2014
Christian Kamtchueng
CTK corp
Downloads 107 (307,944)

Abstract:

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Correlation, Uncertain, Local Volatility, Local Correlation

13.

Rogue Trading or Directional Hedging? Information Relevance Theory

Number of pages: 12 Posted: 09 Sep 2014
Christian Kamtchueng
CTK corp
Downloads 99 (324,248)

Abstract:

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Black Scholes, Rogue Trader, Information, Filtration, Pricing, Kerviel, Adoboli

14.

Fully Liquidity Adjusted CVA

Number of pages: 27 Posted: 19 Mar 2013 Last Revised: 07 Jan 2016
Christian Kamtchueng
CTK corp
Downloads 99 (324,248)
Citation 1

Abstract:

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close out premium, CVA, Exposure, Liquidity, Risk, LVA, MLVA, FVA

15.

FVA, The Fake Debate: Why Are They Still Debating?

Number of pages: 11 Posted: 11 Jul 2014 Last Revised: 07 Jan 2016
Christian Kamtchueng
CTK corp
Downloads 86 (354,280)

Abstract:

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FVA, MLVA, funding valuation adjustment, debate

16.

Collateral and PDE

Number of pages: 21 Posted: 08 Jan 2016 Last Revised: 11 Jan 2016
Christian Kamtchueng
CTK corp
Downloads 80 (369,959)

Abstract:

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Collateral, Funding, PDE, Fear Pricing

17.

CVA Implied Vol and Netting Arbitrage II Application

Number of pages: 15 Posted: 17 Feb 2012 Last Revised: 12 Nov 2012
Christian Kamtchueng
CTK corp
Downloads 74 (386,752)
Citation 1

Abstract:

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CVA Implied Vol, CVA Local Vol, CVA netting arbitrage, counterparty valuation adjustment

18.

Multi Asset Heston Correlation

Number of pages: 16 Posted: 15 Feb 2012 Last Revised: 09 Aug 2013
Christian Kamtchueng
CTK corp
Downloads 63 (421,400)

Abstract:

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Heston, correlation

19.

Liquidation Process Optimisation and Swing Option

Number of pages: 12 Posted: 15 Dec 2015 Last Revised: 07 Jan 2016
Christian Kamtchueng
CTK corp
Downloads 48 (477,021)

Abstract:

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Collateral, Liquidation, Liquidity, Information, Regulatory

20.
Downloads 48 (477,021)
Citation 1

Abstract:

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Black Scholes, Gyhkman, Information, Filtration, Pricing, Directional Hedging

21.

Measure of the Information Relevance

Number of pages: 14 Posted: 08 Jan 2014 Last Revised: 23 Oct 2014
Christian Kamtchueng
CTK corp
Downloads 41 (507,715)
Citation 3

Abstract:

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Filtration, Information, Pricing

Other Papers (1)

Total Downloads: 48
1.

Wrong Way Risk and Jump to Default

Number of pages: 21 Posted: 16 Feb 2012 Last Revised: 08 Jan 2013
Christian Kamtchueng
CTK corp
Downloads 48

Abstract:

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Jump to default, Wrong Way Risk