Simon Johnson

Commerzbank Corporates & Markets

60 Gracechurch Street

London, EC3V 0HR

United Kingdom

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SCHOLARLY PAPERS

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Scholarly Papers (2)

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1.

Arbitrage-Free Construction of the Swaption Cube

Number of pages: 13 Posted: 22 Jan 2009
Simon Johnson and Bereshad Nonas
Commerzbank Corporates & Markets and Commerzbank Corporates & Markets
Downloads 2,988 (4,678)
Citation 5

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Option Pricing, Volatility Smile, Swaption, SABR model, Arbitrage

2.

Calibrating Volatility Smile Dynamics Using an Ensemble Weighting Method

Numerix, Quantitative Research Working Paper No. 3
Number of pages: 13 Posted: 06 Oct 2002
Simon Johnson and Han Lee
Commerzbank Corporates & Markets and Numerix - Quantitative Research
Downloads 828 (34,536)
Citation 1

Abstract:

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Volatility Smile and Dynamics, Stochastic Vol, Calibration to Barriers, Ensemble weighting, Monte Carlo, PDE