Analyzing and hedging structured products with Interactive Deformable Computer Graphics
AbstractIn this article, Michael Mahlknecht and Konstantin Oppl present an innovative graphical analysis method, which enables to achieve a visualization of hidden risks in complex structured products, to perform real-time graphical dynamic hedging, to graphically calibrate volatility and correlation surfaces, and to set efficient limits for risk management.
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Bibliographic InfoArticle provided by Capco Institute in its journal Journal of Financial Transformation.
Volume (Year): 26 (2009)
Issue (Month): ()
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Market risk; prepayment risk; default risk; trading; hedging; graphical dynamic hedging; structured products; risk management; simulation; visualization of risks; parameter calibration;
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- G15 - Financial Economics - - General Financial Markets - - - International Financial Markets
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