Rachid El Mohammadi - Academia.edu (original) (raw)

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Papers by Rachid El Mohammadi

Research paper thumbnail of BSFTDWithMultiJump Model and Pricing of Quanto FTD with FX Devaluation Risk

We present a new model for pricing Quanto FTD where the FX could be strongly dependent to some or... more We present a new model for pricing Quanto FTD where the FX could be strongly dependent to some or all credit names. The model assumes lognormal hazard rate and deterministic FX local volatility where the FX spot can jump at time of first to default and where the jump size depends on credit name reference. We present the model, the calibration algorithm, and the Quanto FTD pricing. This model is an extension of the model BSWithJump for pricing Quanto CDS with FX devaluation risk.

Research paper thumbnail of BSWithJump Model And Pricing Of Quanto CDS With FX Devaluation Risk

We present a new model for pricing quanto CDS where the FX could be strongly dependent on the cre... more We present a new model for pricing quanto CDS where the FX could be strongly dependent on the credit reference. The model assumes lognormal hazard rate and deterministic FX local volatility where the FX spot can jump at time of default of the credit reference. We present the model, the calibration algorithm, and the quanto CDS pricing.

Research paper thumbnail of BSFTDWithMultiJump Model and Pricing of Quanto First-to-Default with FX Devaluation Risk

SSRN Electronic Journal, 2000

Research paper thumbnail of BSWithJump Model And Pricing of Quanto CDS with FX Devaluation Risk

SSRN Electronic Journal, 2000

Research paper thumbnail of BSWithJump Model And Pricing Of Quanto CDS With FX Devaluation Risk

Research paper thumbnail of BSFTDWithMultiJump Model and Pricing of Quanto FTD with FX Devaluation Risk

We present a new model for pricing Quanto FTD where the FX could be strongly dependent to some or... more We present a new model for pricing Quanto FTD where the FX could be strongly dependent to some or all credit names. The model assumes lognormal hazard rate and deterministic FX local volatility where the FX spot can jump at time of first to default and where the jump size depends on credit name reference. We present the model, the calibration algorithm, and the Quanto FTD pricing. This model is an extension of the model BSWithJump for pricing Quanto CDS with FX devaluation risk.

Research paper thumbnail of BSWithJump Model And Pricing Of Quanto CDS With FX Devaluation Risk

We present a new model for pricing quanto CDS where the FX could be strongly dependent on the cre... more We present a new model for pricing quanto CDS where the FX could be strongly dependent on the credit reference. The model assumes lognormal hazard rate and deterministic FX local volatility where the FX spot can jump at time of default of the credit reference. We present the model, the calibration algorithm, and the quanto CDS pricing.

Research paper thumbnail of BSFTDWithMultiJump Model and Pricing of Quanto First-to-Default with FX Devaluation Risk

SSRN Electronic Journal, 2000

Research paper thumbnail of BSWithJump Model And Pricing of Quanto CDS with FX Devaluation Risk

SSRN Electronic Journal, 2000

Research paper thumbnail of BSWithJump Model And Pricing Of Quanto CDS With FX Devaluation Risk

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