Marco Marchioro

Learning Quantitative Finance with QuantLib

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In this gallery we provide a description for recent quantitative models developed jointly by Quant Island and StatPro 

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  • A random-spread model for fixed-to-float...
    by Marco Marchioro on October 14, 2013 at 4:00 AM
    2169 Views - 0 Comments

    We compute the price of bonds convertible to floating-rate notes where the credit spread is mostly responsible for the convertibility option. First we determine the sketchiness of deterministic models for credit spreads. Then we define a stochastic credit model that provides a better approximation for the bond price in a wide range of market conditions. Finally, we show how the stochastic model is analytically tractable when the credit spread normally distributed and provide some numerical results for the credit sensitivity and the computation of Value at Risk.

  • Risk Simulations of VIX Futures
    by Marco Marchioro on October 2, 2013 at 11:43 PM
    2489 Views - 0 Comments

    We propose a simplified model for computing the risk simulations of VIX futures. The risk simulations are based on three main risk factors: the spot VIX quote, the long-term VIX expected value, and the expected transition time. We show, using some numerical examples, how the risk of VIX futures is typically lower than the index itself and depends on the maturity of the futures contract.

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