# Quant research

OpenGamma has published numerous Quant Research papers over the years.

Many of these refer to the OpenGamma Platform, which is the software product that predates Strata. However, even though the code has changed, the quant research itself is still valid. Note that some research papers have been lost to the mists of time, so the list below is incomplete.

## Market conventions

- Interest Rate Instruments and Market Conventions Guide
- Conventions for Single-Name Credit Default Swaps

## Main research series

- Adjoint Algorithmic Differentiation: Calibration and implicit function theorem, Nov 2011
- Local Volatility, Jan 2012
- My future is not convex, May 2012
- Equity Variance Swap with Dividends, May 2012
- Deliverable Interest Rate Swap Futures: Pricing in Gaussian HJM Model, Sep 2012
- Multi-Curves: Variations on a Theme, Oct 2012
- Option pricing with Fourier Methods, Apr 2012
- Equity Variance Swap Greeks, Aug 2012
- Mixed Log-Normal Volatility Model, Aug 2012
- Numerical Solutions to PDEs with Financial Applications, Feb2013
- Multi-curves Framework with Stochastic Spread: A Coherent Approach to STIR Futures and Their Options, Mar 2013
- Algorithmic Differentiation in Finance: Root Finding and Least Square Calibration, Jan 2013
- Multi-curve Framework with Collateral, May 2013
- Mixed Bivariate Log-Normal Model for Forex Cross, Jan 2013
- Piecewise Polynomial Interpolations, May 2013
- The Pricing and Risk Management of Credit Default Swaps, with a Focus on the ISDA Model, Sep 2013
- Conventions for Single-Name Credit Default Swaps, Dec 2013
- Brazilian Swaps, Dec 2013
- Inflation: Instruments and curve construction, Jan 2014
- Inflation caps and floors, Jan 2014
- Convexity adjustment for inflation derivatives, Jan 2014
- Forward CDS, Indices and Options, Mar 2014
- Tree Option Pricing Model, Apr 2014
- Eight ways to strip your caplets: An introduction to caplet stripping, Sep 2014
- Smile Interpolation and Extrapolation, Sep 2014

## Other papers

- The Analytic Framework for Implying Yield Curves from Market Data, Mar 2012
- Multiple Curve Construction, Mar 2012
- Option Pricing with Fourier Methods, Apr 2012
- Bill Pricing, Jan 2012
- Bond Pricing, Dec 2011
- Interest Rate Futures and their Options: Some Pricing Approaches, Feb 2012
- Bond Futures: Description and Pricing, Jan 2011
- Forex Options Vanilla and Smile, May 2012
- Digital Forex Options, May 2012
- Swaption Pricing, Apr 2011
- Smile Extrapolation, May 2011
- Inflation Instruments: Zero-Coupon Swaps and Bonds, Oct 2011
- Hull-White one factor model, May 2012
- Swap and Cap/Floors with Fixing in Arrears or Payment Delay, Jun 2011
- Replication Pricing for Linear and TEC Format CMS, Dec 2011
- Binormal With Correlation by Strike Approach to CMS Spread Pricing, Jun 2011
- Libor Market Model with displaced diffusion: implementation, Oct 2012
- Portfolio hedging with reference securities
- Compounded Swaps in Multi-Curves Framework
- Curve Calibration in Practice: Requirements and Nice-to-Haves
- Bond’s total return swap
- Equity’s total return swap
- Sensitivity computation, Jun 2014