intTypePromotion=1
ADSENSE

Credit derivatives pricing models

Xem 1-5 trên 5 kết quả Credit derivatives pricing models
  • The credit derivatives market is booming and, for the first time, expanding into the banking sector which previously has had very little exposure to quantitative modeling. This phenomenon has forced a large number of professionals to confront this issue for the first time. Credit Derivatives Pricing Models provides an extremely comprehensive overview of the most current areas in credit risk modeling as applied to the pricing of credit derivatives.

    pdf400p tdh186 09-05-2012 197 83   Download

  • In this paper we propose a new, information-based approach for modelling the dynamic evolution of a portfolio of credit risky securities. In our setup market prices of traded credit derivatives are given by the solution of a nonlinear filtering problem. The innovations approach to nonlinear filtering is used to solve this problem and to derive the dynamics of market prices. Moreover, the practical application of the model is discussed: we analyse calibration, the pricing of exotic credit derivatives and the computation of risk-minimizing hedging strategies.

    pdf29p enter1cai 12-01-2013 44 3   Download

  • The document Applied Quantitaive Finance provides a comprehensive and state-of-the-art treatment of cutting-edge topics and methods. It provides solutions to and presents theoretical developments in many practical problems such as risk management, pricing of credit derivatives, quantification of volatility and copula modelling.

    pdf0p tuantranngoc92banking 11-07-2016 21 2   Download

  • The long-awaited sequel to the "Concepts and Practice of Mathematical Finance" has now arrived. Taking up where the first volume left off, a range of topics is covered in depth. Extensive sections include portfolio credit derivatives, quasi-Monte Carlo, the calibration and implementation of the LIBOR market model, the acceleration of binomial trees, the Fourier transform in option pricing and much more. Throughout Mark Joshi brings his unique blend of theory, lucidity, practicality and experience to bear on issues relevant to the working quantitative analyst....

    pdf0p baobinh1311 25-09-2012 68 19   Download

  • Due to the nonredundancy condition, the competitive-equilibrium contracts we derive exclude most options by assumption; in particular, nonsophisticated borrowers’ only option to change the repayment schedule will be to change it by a lot for a large fee. As is usually the case in models of nonlinear pricing, the same outcomes can also be implemented by allowing other choices, but making them so expensive that the borrower does not want to choose them.

    pdf25p enter1cai 12-01-2013 31 1   Download

CHỦ ĐỀ BẠN MUỐN TÌM

ADSENSE

p_strKeyword=Credit derivatives pricing models
p_strCode=creditderivativespricingmodels

nocache searchPhinxDoc

 

Đồng bộ tài khoản